I think the first approach is more clear - it's easier to follow along if the interviewer (or case partner) knows generally where you are going before you dive into details.
I think of structuring the case interview like a talk or presentation: when giving a talk, one of your first slides should always an outline that gives your audience a "roadmap" of what to expect. This outline is followed by the actual details of the talk (data, insights, conclusions, etc). While there are ways to give talks where you dive straight into a narrative. it is easier for the audience to follow along and gauge progress if they see the outline first.
In a similar fashion, laying out "these are the 4 categories I want to explore" followed by "in the first category, these are my three key questions..." makes it easier for the interviewer to know where you're going and follow along.