CLOSE PROX ACR MLG ON STRAIGHT IN AND GA SMA IN ATA AT TRI.

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VECTORED TO APPROX A 6 MI FINAL FOR RWY 23 AT TRI; APCH CTL WAS ANTICIPATING A VISUAL APCH BUT DUE TO RESTR VISIBILITY IN HAZE WE NEEDED TO INTERCEPT TO LOC AND PROCEED INBOUND. WHEN WE SAW THE RWY AT APPROX 3 MI FINAL WE REALIZED WE WERE TOO HIGH FOR A COMFORTABLE APCH. WE CALLED THE RWY IN SIGHT WHEN WE SAW IT AND WERE IMMEDIATELY CLRED FOR A VISUAL APCH. THEN WE RESPONDED THAT WE WERE 'TOO HIGH AND WOULD LIKE TO DO A 360 DEG AND TRY IT AGAIN.' IN RESPONSE TO THAT; APCH CTL CLRED US TO CONTACT TWR. WHILE I WAS TUNING THE RADIO THE FO (FLYING THE ACFT) BEGAN A L TURN (ANTICIPATING THE LOW VISIBILITY; TERRAIN IN THE AREA; L HAND TFC; ETC). AS HE STARTED THE TURN I SAW A SMALL ACFT ON DOWNWIND FOR L TFC TO 23. SIMULTANEOUSLY THE RADIO TUNED TO TWR AND I HEARD '...B START R TURN IMMEDIATELY.' WE THEN INFORMED TWR THAT WE HAD THE SMALL ACFT IN SIGHT AND WOULD LIKE TO CONTINUE THE TURN FOR LNDG ON RWY 23. WE WERE TOLD TO FOLLOW THE ACFT (SMA) FOR A VISUAL APCH TO AN EVENTFUL LNDG ON 23. PROBLEMS: APCH DOING US A 'FAVOR' BY VECTORING US TO A SHORT FINAL IN MARGINAL VFR NO DME ON THE ILS FACILITY. LATE SIGHTING OF RWY; SO LATE REALIZATION OF HEIGHT/DISTANCE. TRANSFER OF CTL FROM APCH TO TWR AT LAST MIN. OUR STARTING A TURN PRIOR TO FULL CLRNC FROM THE CTLR. INSTANTANEOUS DECISIONS HAD TO BE MADE ALL AT THE SAME TIME; IT GOT BUSY! CONSIDERATIONS: THE LIGHT ACFT DID NOT LIKE US TURNING 'TOWARD' HIM. IN RETROSPECT; WE WOULD HAVE CONTINUED ON RWY HDG A WHILE LONGER WHILE THE TWR FREQ WAS BEING TUNED. AS IT WAS; WE HAD THE CHOICE OF EITHER S-TURNING TO LOSE ALT OR DOING A 360 DEG TURN. WE CHOSE THE LATTER. WE HAD BEEN CLRED THE VISUAL APCH; BUT WHEN TOLD WE NEEDED A 360 APCH CLRED US TO TWR FOR GOOD SOLID REASONS. THIS WAS AN EXTREMELY RARE CIRCUMSTANCE. EVERYTHING HAD TO BE IN EXACTLY THE WRONG PLACE (VISIBILITY; CLRNC; RADIO; SMA) FOR THIS TO OCCUR. WE FELT THAT AT NO TIME WAS ANYONE IN ANY DANGER. THE SMA WAS IN SIGHT AND BEING AVOIDED. NEXT TIME IT'S RPTED 5 MI VISIBILITY AND I'M LNDG TO THE SW IN HAZY CONDITIONS; I'LL JUST ASK FOR THE ILS. PLEASE DO NOT PURSUE ANY ENFORCEMENT ACTION AGAINST TRI TWR OR APCH. THIS COULD HAVE HAPPENED ANYWHERE.