Captain reported receiving conflicting instructions from two different controllers while on approach. To remedy the situation; the Captain elected to cancel IFR and proceed VFR on the approach in VMC conditions.

Narrative

Total flight time 9 minutes.Captain (PF (Pilot Flying))CoPilot (PM (Pilot Monitoring))We departed ZZZ1 with an IFR clearance 'cleared to ZZZ; rwy heading; radar vectors ZZZ2; direct. Climb maintain 3000'.' Both ZZZ1 and ZZZ were reporting VFR conditions. We waited approximately 25-30 before we were given cleared for takeoff. I the Captain briefed to the Copilot that this is a short flight (less than 20 Nautical miles away; and that we would keep take off flaps out the entire route so that we can fly slower and set us up for the quick landing into ZZZ. After takeoff we were given a right turn to 360 degrees and contact Departure. Upon checking into Departure communicated that 'we had a visual of ZZZ; we were given ' cleared for the visual approach Runway XXL into ZZZ. The next controller (Approach) statedController : 'altimeter 30.25; Do you have ZZZ insight' Copilot : unreadable 'yes we were cleared for the visual approach.'Controller : 'YES SIR; You are in a 4000 ft. MVA climb immediately; you are at 1500 ft. in a 4000 ft. MVA; climb immediately; climb and maintain 4000 ft. 'inside the cockpit I verbalized to the Copilot to confirm we got cleared for the visual into XXL into ZZZ!? He confirmed yes! Having conflicting info from 2 Controllers; and with terrain and airport in sight I made the decision to cancel the IFR flight plan. Copilot (not recorded; due to inoperable PTT or blocked by another transmission): announced our intention to cancel IFR.Controller : 'Expedite climb; climb and maintain 4000 ft.!'That's when I (Captain) jumped on the radio and announcedCaptain: 'Aircraft X is canceling IFR we are VMC with airport insight; (and reiterated to Controller that ) we were already cleared for the visual approach XXL into ZZZ.'Controller : 'I understand Aircraft X is canceling IFR at this time'.Captain: YES! Controller : 'cancelation of IFR is received and that we are below 4000 ft. MVA (Minimum Vectoring Altitude) do you have terrain in sight?. Captain terrain in sight; VMC on the visual XXL; switching to Tower.We switch to ZZZ Tower.Captain : checks inZZZ Tower: are VFR or IFR?Captain: VFR; but explains what had happened with previous Controller.ZZZ Tower: I am familiar with that Controller it doesn't surprise me;......XXL clear to land.Captain: confirms clear to land XXL.ZZZ Tower: You are #1 to land.Copilot: ConfirmsZZZ Tower: You are #1 to landInside the cockpit Captain confirms Copilot is using correct PTT (Push to talk); Copilot confirms and resumes his duties and transmits to Tower...Copilot: #1 clear to land.Aircraft lands.