Here's my mayday and I will call you back.
Here’s the mayday and what I need to do right now, then I will call you back.
That way ATC can be of help, versus wondering where you’ll be barreling around to, course and altitude-wise. The extra info they need can be sent to them when able, which many ATC will preface with “…when able, fuel, souls and nature of emergency.”
Too many pilots forget the bolded part, which is understandable as emergencies are an unusual situation that is rarely experienced.