CRJ900 Captain reported receiving confusing glide slope indications resulted in a terrain alert followed by taking evasive action to a go around. Captain reported all indications normal on subsequent approach.

Narrative

We were coming into ZZZ. Daytime VMC I was the Pilot Monitoring (PM). Coming into ZZZ the winds were shifting and variable. We had been set up to do the visual to Runway XX. Checking in with Approach they said the winds keep shifting and are currently variable at 9 [kts] between 010 and 330 and recommended visual to Runway XY since the wind has been favoring that way. We said OK we will plan Runway XY but told him we will need delay vectors to get set up for the approach since we were west of the field and it would be close to a straight in approach to Runway XY. Approach started to give us vectors so we could loose altitude; slow down; and get set up for the approach. As PM I changed our approach in the FMS to Runway XY and changed our landing numbers. The Pilot Flying (PF) then focused on flying and I briefed the approach due to it being a high area of vulnerability. ATC gave us vectors across final as we descended to 4000 ft. and got set up for the approach. Once we were briefed and felt caught up to the aircraft due to the runway change we told ATC we were ready for the approach. ATC gave us a vector onto final and said advise airport in sight. We had the airport in sight and got cleared for the visual Runway XY. We intercepted final around 2 NM prior to ZZZZZ at 3200ft. we were fully configured prior to ZZZZZ and crossed ZZZZZ at 3200 ft. We were in white needles but had blue preview needles up as well. The PF started descending to follow the glideslope (GS). The glideslope showed that they were high so they increased their descent rate to 900 fpm. Looking out the window we looked to be on glidepath but the mountainous terrain by ZZZZZ1 just looked closer than usual. I reminded the PF of the ZZZZZ1 crossing. But we were still showing high on the glideslope. we were at around 2600 ft. at the time and descending at 900 fpm. the PF shallowed out their descent to 700 fpm. Just Prior to ZZZZZ1 we got a 1000 [foot] call at 2200 ft. from the radar altimeter (Airport elevation 955 ft.). About 2 seconds later we go a terrain warning followed by terrain; pull up aural. Our radar altimeter was saying we were 800 ft. AGL. PF disengaged the autopilot called max thrust flaps 8. we performed Controlled Flight into Terrain (CFIT) escape maneuver. which cleared within 3 seconds. Then went into the Go-Around procedure. ATC gave runway heading to 4000 ft. We got vectors back around; briefed again; and did another visual approach to Runway XY this time in green needles. We crossed ZZZZZ at 3200 ft. like before and followed the glideslope down in green needles. the GS seemed to be working well this time. Descent rate was about 700 fpm the whole way down and we did not get a CFIT warning. Landed without incident. The biggest cause was the confusion between what the GS was telling us and what our eyes were telling us on the approach. caused us to loose situational awareness due to the confusion. We were showing high on the glideslope and possibly were getting bad readings from it since we were actually low. The PF had never been to ZZZ; and I had only been there once back in Month. Inexperience with the airport and the contradiction of instruments and visual ques. The use of the higher descent rate also triggered the CFIT event most likely since our navigation equipment was showing us to be high.Suggestions: On visual approach's trust your eyes as well as your instruments. If something doesn't look right; and your eyes are not matching the instruments execute a go around and try again. Don't wait until the plane tells you to go around with a CFIT escape maneuver. Make sure to brief high descent rates when doing approaches in mountainous terrain. If you are unfamiliar with an airport or mountainous airports take your time.