In psql you can echo the actual queries generated by backslash commands.

Use the --echo-hidden parameter

psql --echo-hidden ...

or set the variable ECHO_HIDDEN in psql, example:

test=# \set ECHO_HIDDEN on
test=# \du
********* QUERY **********
SELECT r.rolname, r.rolsuper, r.rolinherit,
  r.rolcreaterole, r.rolcreatedb, r.rolcanlogin,
  r.rolconnlimit, r.rolvaliduntil,
  ARRAY(SELECT b.rolname
        FROM pg_catalog.pg_auth_members m
        JOIN pg_catalog.pg_roles b ON (m.roleid = b.oid)
        WHERE m.member = r.oid) as memberof
, r.rolreplication
, r.rolbypassrls
FROM pg_catalog.pg_roles r
ORDER BY 1;
******************************

Read about psql in the documentation.

I figured it out and here's my answer:

SELECT
  pg_roles.rolname,
  pg_auth_members.member,
  (SELECT pg_roles.rolname FROM pg_roles WHERE oid = pg_auth_members.member)
FROM
  pg_roles, pg_auth_members
WHERE
  pg_auth_members.roleid = ( SELECT oid FROM pg_roles WHERE rolname = 'my_group') and pg_roles.rolname = 'my_group';

So, this query would return something like this:

   rolname  | member | rolname 
------------+--------+---------
   my_group |  18068 | first_member
   my_group |  18069 | second_member
(2 rows)