Got it. Okay I ran bith with UNION and UNION ALL.
It ran the second query first, and then the first.
Time it took: Elapsed: 00:00:14.94
With UNION ALL:
It ran the first query and then the second:
Time it took: Elapsed: 00:00:14.06
With my Select for the function
Time it took: Elapsed: 00:00:14.50
So, should I change my function to have UNION ALL, instead of using a cursor?