Collection from a sequence that constitute a perfect square

05AB1E, 10 bytes

ݨn6*æʒOŲ

Try it online!

How?

ݨn6*æʒOŲ || Full program. I'll call the input N.

Ý          || 0-based inclusive range. Push [0, N] ∩ ℤ.
 ¨         || Remove the last element.
  n        || Square (element-wise).
   6*      || Multiply by 6.
     æ     || Powerset.
      ʒ    || Filter-keep those which satisfy the following:
       O   ||---| Their sum...
        Ų ||---| ... Is a perfect square?

Haskell, 114 104 103 86 bytes

f n=[x|x<-concat<$>mapM(\x->[[],[x*x*6]])[0..n-1],sum x==[y^2|y<-[0..],y^2>=sum x]!!0]

Thanks to Laikoni and Ørjan Johansen for most of the golfing! :)

Try it online!

The slightly more readable version:

--  OEIS A033581
ns=map((*6).(^2))[0..]

-- returns all subsets of a list (including the empty subset)
subsets :: [a] -> [[a]]
subsets[]=[[]]
subsets(x:y)=subsets y++map(x:)(subsets y)

-- returns True if the element is present in a sorted list
t#(x:xs)|t>x=t#xs|1<2=t==x

-- the function that returns the square subsets
f :: Int -> [[Int]]
f n = filter (\l->sum l#(map(^2)[0..])) $ subsets (take n ns)

Pyth, 12 bytes

-2 bytes thanks to Mr. Xcoder

fsI@sT2ym*6*

Try it online!

2 more bytes need to be added to remove [] and [0], but they seem like valid output to me!

---

Explanataion

    fsI@sT2ym*6*
    f                  filter
           y           the listified powerset of
            m*6*ddQ    the listified sequence {0,6,24,...,$input-th result}
        sT             where the sum of the sub-list
     sI@  2            is invariant over int parsing after square rooting