The weather in may is pleasent everywhere in Mauritius in may with daytime temperatures of 27-29 degrees celsius on the coast line. The southeast trade winds prevail more or less all year round but as it gets cooler in the months of june, july and august, it makes it feel considerably colder( wind chill effect!) even if in real terms the daytime temperatures rarely drops below 20-26 degrees on the coast. It is true that the east coast is more exposed to these winds which may increase in intensity due the presence of anticyclones which are more frequent in winter.
Grand Gaube is on the northeast coast and I am certain that the weather will suit your needs in may. To be certain however, I would still recommend the west coast due to the fact that it is always sheltered and usually gets much less rainy days compared to the east and the central plateau.Please bear in mind that Mauritius is a very small island and you can travel to any point in about 1 hour.