PC-12 pilot reported confusion with ATC regarding the direction of flight. After receiving a new instruction the pilot reported over banking the aircraft and losing altitude.

Narrative

Departed ZZZ at XA:12; Maintenance FLT with one captain and Maintenance on the right seat. The original heading was supposed to be north for the check flight. After take off north we turned heading Right 330 as cleared; after switching to departure frequency we got assigned left turn 030 and things were going fast; ATC busy; I felt that's not the correct turn and even my Maintenance colleague (Private pilot) commented saying 'that does not sound right'. At 2000 feet on the left turn I wanted to double check but ATC was busy; a second later came back telling me to turn immediately right north; I start turning to opposite way north my bank angle went to 65 and lost 300 feet in this maneuver. Then he comes back and say continue left north; then whatever you need to get north; so I went from right to left again and finished the turn north on heading 030. Very overwhelming moment; frustrating. Before frequency changes he apologies for the confusion he created. Tough moment at low altitude; It could have been a bad day for me and our Maintenance. To avoid situations like this in ZZZ and ZZZ1 area is very tough; but ATC personnel needs to be doubled specially with this airspace.