I think the Sea of Cortez is right, but where exactly *in May* is a question. I am not certain about your timing, so I would get in touch with the dive operators in a couple of these places and ask them what is the best time of the year to boost your chances of seeing what you are interested in seeing.
In May and June, we used to see enormous schools of scalloped hammerheads around San Pedro Nolasco island, a common day trip from San Carlos (on the mainland side, next to Guaymas). Their appearance seems to be less predictable / reliable in recent years.
I think the better place to look is on the Baja side of the Sea of Cortez. Check out El Bajo, Gorda Banks, Bahia de Los Angeles, and places in between. The place to stay for some of the trips to those locations is probably Cabo San Lucas.