You can put arrays inside constants with a hack:
define('MONTHS', serialize(array('January', 'February' ...)));
But then you have to unserialize() that constant value when needed and I guess this isn't really that useful.
As an alternative, define multiple constants:
define('MONTH_1', 'January');
define('MONTH_2', 'February');
...
And use constant() function to look up the value:
echo constant('MONTH_'.$month);