In the United States, we don't have any short phrase for this. We say "today is the anniversary of my grandmother's death." The only time we use the phrase "X anniversary" is in the phrase "wedding anniversary." And the word "anniversary," if nothing else is specified, means a wedding anniversary: "It's their 25th anniversary this year." For everything else, we use the phrase "anniversary of X." "Memorial" doesn't refer to a date, it refers to a formal event remembering something, often a death. "There will be a memorial service at the Congregational Church, followed by visiting hours at the Wright Funeral Home." In the US the phrase "Memorial Day" is a specific date, the last Monday in May, which is a Federal holiday for remembering people who died serving in the armed forces.

Death anniversary is much better but i think it sounds weried because we use it usually at happy not sad events