Peripheral heavy-ion collisions are expected to exhibit magnetic fields with magnitudes comparable to the QCD scale, as well as non-zero baryon densities. Whereas QCD at finite magnetic fields can be simulated directly with standard lattice algorithms, the implementation of real chemical potentials is hindered by the infamous sign problem. Aiming to shed light on the QCD transition and on the equation of state in that regime, we carry out lattice QCD simulations with 2+1+1 flavors of staggered quarks with physical masses at finite magnetic fields and employ a Taylor expansion scheme to circumvent the sign problem. We present the leading-order coefficient of the expansion calculated at non-zero magnetic fields and discuss the impact of the field on the strangeness neutrality condition.