Is 'May you explain to me correct grammar'?

No. I think this construction (which is bad English) comes from the other form "Might you explain to me" which is also incorrect because might is either asking permission (may I) or asking if something is possible or likely (it might fall/it can fall). "You might have told me" (could have) is another idiomatic form when it suggests something undone rather than possibly done but not recalled.

The possibility verb can/could is also not ideal for "Could you explain this?" because it means "is it possible for you." So "would you (please) explain (this) to me" is probably the best choice.