I agree with Chilli and Rustle......
Otherwise everytime you shut down an engine for training, or pull then power back to 40% to descend, you'd have to call Mayday.
Mayday really means "help, we could very easily die unless we get some help very soon". When an engine fails on a twin, this could be the case or it could be a "bugger, better turn around the engine has gone". Pan means "We have a problem which could get worse, can we get some help please"...
To be honest, it is just words anyway. If you have an emergency you fly the plane and then tell whoever...