Exactly, unless you're flying an F15, the last thing on your mind if you are pointing straight up or down is "I wonder what heading I'm on".
However, I was in the radar pattern at Waddington many years ago, the approach controller asked a Lightning pilot what his climbout heading was after he'd just flown a PAR to overshoot. The cool and laconic reply was,
"No heading, I'm in the vertical".
Why? Because he could!
