***** NOT A TEACHER *****
I think that I have good news for you: some books would label it an "indefinite relative adverb," and some books would label it a "subordinating conjunction."
Other members will soon tell you which one that they prefer. (I will keep my opinion to myself.)
P.S. I am always careful NEVER to write "gonna" for "going to." If I did, some moderators would become very upset with me.
Student or Learner