Technically, a MAYDAY is declared when the aircraft is threatened by "grave and imminent danger" and requires "immediate assistance".
PAN is appropriate to an aircraft being in a state of "urgency".
However, in the real world I would not blame any aircraft commander who declares a MAYDAY should this be deemed necessary.
I see to recall a thread a long while ago which implied that Spain and several other states did not recognise the PAN status.