#MATL, 18 bytes

	'yyyymm'2$YO12XOXk
	
[**Try it Online**](http://matl.tryitonline.net/#code=J3l5eXltbScyJFlPMTJYT1hr&input=JzIwMTYwNCc)

[Modified version for all test cases](http://matl.tryitonline.net/#code=YCd5eXl5bW0nMiRZTzEyWE9Ya0RU&input=JzIwMTYwNCcKJzIwMDAwMScKJzAwMDExMicKJzEyMzQwNSc)

**Explanation**

				% Implicitly grab input as a string
	'yyyymm'	% Push the format string as a string literal
	2$YO		% Convert to a serial date number
	12			% Number literal, pre-defined datestring of 'mmmyy'
	XO			% Convert from serial date number to string using this format
	Xk			% Convert to uppercase
				% Implicitly display