Please make your life easier (don't use join into group):
var query = from ug in UserGroups
from ugp in UserGroupPrices.Where(x => x.UserGroupId == ug.Id).DefaultIfEmpty()
select new
{
UserGroupID = ug.UserGroupID,
UserGroupName = ug.UserGroupName,
Price = ugp != null ? ugp.Price : 0 //this is to handle nulls as even when Price is non-nullable prop it may come as null from SQL (result of Left Outer Join)
};