How to replace (null) values with 0 output in PIVOT

SELECT CLASS,
isnull([AZ],0),
isnull([CA],0),
isnull([TX],0)
FROM #TEMP
PIVOT (SUM(DATA)
FOR STATE IN ([AZ], [CA], [TX])) AS PVT
ORDER BY CLASS

Sometimes it's better to think like a parser, like T-SQL parser. While executing the statement, parser does not have any value in Pivot section and you can't have any check expression in that section. By the way, you can simply use this:

SELECT  CLASS
,   IsNull([AZ], 0)
,   IsNull([CA], 0)
,   IsNull([TX], 0)
    FROM #TEMP
    PIVOT (
        SUM(DATA)
        FOR STATE IN (
            [AZ]
        ,   [CA]
        ,   [TX]
        )
    )   AS  PVT
    ORDER   BY  CLASS

You cannot place the IsNull() until after the data is selected so you will place the IsNull() around the final value in the SELECT:

SELECT CLASS,
  IsNull([AZ], 0) as [AZ],
  IsNull([CA], 0) as [CA],
  IsNull([TX], 0) as [TX]
FROM #TEMP
PIVOT 
(
  SUM(DATA)
  FOR STATE IN ([AZ], [CA], [TX])
) AS PVT
ORDER BY CLASS

If you have a situation where you are using dynamic columns in your pivot statement you could use the following:

DECLARE @cols               NVARCHAR(MAX)
DECLARE @colsWithNoNulls    NVARCHAR(MAX)
DECLARE @query              NVARCHAR(MAX)

SET @cols = STUFF((SELECT distinct ',' + QUOTENAME(Name) 
            FROM Hospital
            WHERE Active = 1 AND StateId IS NOT NULL
            FOR XML PATH(''), TYPE
            ).value('.', 'NVARCHAR(MAX)') 
        ,1,1,'')

SET @colsWithNoNulls = STUFF(
            (
                SELECT distinct ',ISNULL(' + QUOTENAME(Name) + ', ''No'') ' + QUOTENAME(Name)
                FROM Hospital
                WHERE Active = 1 AND StateId IS NOT NULL
                FOR XML PATH(''), TYPE
            ).value('.', 'NVARCHAR(MAX)') 
        ,1,1,'')

EXEC ('
        SELECT Clinician, ' + @colsWithNoNulls + '
        FROM
        (
            SELECT DISTINCT p.FullName AS Clinician, h.Name, CASE WHEN phl.personhospitalloginid IS NOT NULL THEN ''Yes'' ELSE ''No'' END AS HasLogin
            FROM Person p
            INNER JOIN personlicense pl ON pl.personid = p.personid
            INNER JOIN LicenseType lt on lt.licensetypeid = pl.licensetypeid
            INNER JOIN licensetypegroup ltg ON ltg.licensetypegroupid = lt.licensetypegroupid
            INNER JOIN Hospital h ON h.StateId = pl.StateId
            LEFT JOIN PersonHospitalLogin phl ON phl.personid = p.personid AND phl.HospitalId = h.hospitalid
            WHERE ltg.Name = ''RN'' AND
                pl.licenseactivestatusid = 2 AND
                h.Active = 1 AND
                h.StateId IS NOT NULL
        ) AS Results
        PIVOT
        (
            MAX(HasLogin)
            FOR Name IN (' + @cols + ')
        ) p
')