So just to confirm you do say "PAN-PAN, PAN-PAN, PAN-PAN..."
It does sound a bit over the top when you say it during a simulator exercise, but it's what they want.
Oh and i found a reference on my computer's dictionary!
pan-pan |pan pan|
noun
an international radio distress signal, of less urgency than a mayday signal.
ORIGIN 1920s: pan from French panne ‘breakdown.’
And this...
Mayday |ˈmāˌdā| (also mayday)
exclamation
an international radio distress signal used by ships and aircraft.
noun
a distress signal using the word “Mayday” : we sent out a Mayday | [as adj. ] a Mayday call.
ORIGIN 1920s: representing a pronunciation of French m'aider, from venez m'aider ‘come and help me.’