Should I mention unfinished master work in my CV in order to show I have research experience?
Generally speaking it is best to show everything. You need to account for the time spent on the earlier MS. You may have a perfectly good reason for quitting, which you can give if asked.
If you failed out of the earlier one or were terminated it makes it harder to explain, but your new major, especially if pure math is sufficiently different from physics that it is, otherwise, unlikely to hurt.
But having a gap that can't be explained raises questions also, that might hurt.
Your letters of recommendation and your statement of purpose will need to be strong enough to convince readers of your seriousness, as is true of all candidates.