Both are grammatically correct, both are exactly the same except for the question mark at the end of your question, which belongs on the end of the sentence.
May I request a copy of your catalogue
May I request a copy of your catalogue?
A suggestion for actually using this sentence in business writing; the answer to the question is yes or no, which is not the same as fulfilling a request for a copy of the catalogue. Business writing must clearly say what you want. Some alternative sentences:
I am writing to request a copy of your catalogue...
Please send a copy of your catalogue to ...
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