I suppose you must ask yourself why holding altitude was necessary. If you are following an instruction to hold an altitude, then you should. This would obviously include returning to it if you stray. If the intended precision was only for your own satisfaction, you blew it, on well....
Bear in mind that it would be quite uncommon for a request to maintain a particular altitude in a turn, and a steep turn to be required together - except perhaps on a flight test! The steep turn is rather an unusual event maneuver, where maintaining control of the aircraft is more important than altitude precision. The maintenance of altitude is perhaps more an effort to assure that you prevent the entry into a spiral dive.
If this is a flight test request, and you find yourself half way around, having corrected and still within the required tolerance of precision, I'd stay where you are. You're more likely to blow it the opposite way rushing to get back to the stated altitude, in the remaining half of the turn.