Standard ICAO phraseology for ATC commanded go around for callsign XYZ would be:
"XYZ go around (possible reason for go-around)"
XYZ would then acknowledge this:
"Going around, XYZ"
ATC may then give additional instructions in the order it sees fit. If turning is first priority:
"XYZ turn left heading 360, climb and maintain 3000"
In any case the plane would of course be climbing, so if there is a heading to give, it would be logical to command it first.
If for some reason it is imperative to turn the plane away from something as quickly as possible, ATC can command "XYZ turn IMMEDIATELY left heading 360"
Why like this? Because it is imperative that that ATC can be assured as fast as possible that the aircraft will be initiating the go around. Anything other is secondary. The pilot will be preoccupied with the go around procedure for a couple of seconds, and should not worry about heading untill safe climb speed has been established. It is also good practise to keep messages short when something out of the ordinary is happening. Not that go arounds would be that rare, but the pilot might be wet behind the ears, and too many instructions might overwhelm him/her.
In any case ATC must assume there will be some delay in anything an airliner does. There's all kinds of CRM going on in the cockpit to verify everything happens safely.
As to why Canadian phraseology would use the non-standard "pull up" seems strange, but from what I hear Canadians are very nice people so I'll let it slide :)