A B737-800 Captain took exception to the Local Controller's request that he explain the reason for his go-around while the reconfiguration of the aircraft and compliance with ATC revised MAP due to the go-around were still in progress.

Narrative

On a go-around (due in part to high tailwinds on final) the Tower assigned an immediate turn to 200 degrees for another aircraft south of airport. We then received at least two more clearance changes from at least two voices on the radio. Then we received the following: ' Air Carrier X; say reason for go around'. My focus narrowed as I formulated a response as I had not had time to talk to the First Officer about what happened and what she saw on final.Somewhere in all that we ended up on heading 240 degrees and were directed back to a 200 degree heading. I don't know for sure whether or not we were given a clearance to 240 but I thought we were at the time. I've had this Tower request this in the middle of a go around before (and I've reported it before). The go around is the most challenging maneuver we do. And I know what meteorological events require me to report such to ATC.If the go around has a successful outcome; why am I asked this by the Tower? If you are going to ask me; why ask while I am climbing and turning at low altitude? Since I am task saturated during the go around; my standard answer from now on will be 'complying with company procedures.' That way I will not be distracted by the tower at a critical phase of flight.