I think this is a fairly common characteristic Adam & something that I have noticed on many cars that I have driven.

It is hard to appreciate the effect of gravity on gases of different densities, but what I believe you are experiencing is simply the effect of the G forces generated when cornering, causing the stratified warm / cool air regions to swirl around the cabin.

I have noticed that this effect that you have mentioned is more pronounced when the blower is set quite low & the cabin air is quite stable. If the heater fan speed is increased, the cornering effect on heat is minimal.

This is my theory at least.