There are GOTO cases which can't be implemented in MySQL, like jumping backwards in code (and a good thing, too).
But for something like your example where you want to jump out of everything to a final series of statements, you can create a BEGIN / END block surrounding the code to jump out of:
aBlock:BEGIN
if (action = 'D') then
if (rowcount > 0) then
DELETE FROM datatable WHERE id = 2;
else
SET p=CONCAT('Can not delete',@b);
LEAVE aBlock;
end if;
end if;
END aBlock;
return 0;
Since your code is just some nested IFs, the construct is unnecessary in the given code. But it makes more sense for LOOP/WHILE/REPEAT to avoid multiple RETURN statements from inside a loop and to consolidate final processing (a little like TRY / FINALLY).