COMMUTER ASSIGNED VISUAL APCH WITH ARPT NOT IN SIGHT. CAPT CALLS APCH AFTER GETTING CLOSE; RECEIVES VECTORS.

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WE WERE DSNDING INTO AMARILLO INTL ARPT COMING FROM THE E WE COULD SEE THE CITY LIGHTS; BUT IT WAS HAZY. THE ARPT BEACON AND RWY LIGHTS WERE HARD TO SEE; BECAUSE OF THE CITY LIGHTS. WE KNEW ABOUT WHERE THE ARPT WAS; BUT HAD NOT CALLED IT IN SIGHT YET. ALL OF A SUDDEN WE WERE CLRED FOR A VISUAL APCH TO RWY 22. I CONTINUED TOWARDS THE AREA WHERE I KNEW THE ARPT SHOULD BE. AFTER A COUPLE MI I REALIZED WE WERE CLOSE TO THE ARPT (WITHIN 10 NM) AND WE STILL DID NOT SEE IT. I CALLED APCH CTL MYSELF AND TOLD HIM WE DID NOT HAVE THE ARPT IN SIGHT YET. THE CTLR IMMEDIATELY CHANGED HIS TONE OF VOICE AND SEEMED ANGRY. HE TOLD US TO TURN 40 DEG R AND TO SLOW DOWN. WE WERE #2 NOW FOR LNDG; BEHIND AN SMA. WITHIN 2 MINS WE SAW RWY 22 AND WERE ON A CLOSE L BASE. WE ALSO SPOTTED THE SMA; HE WAS ON A R BASE; WAY FURTHER OUT THEN US. I HAD TO FLY THROUGH THE FINAL AND DO 6 S-TURNS TO STAY BEHIND THAT SMA ALL AT NIGHT AND AT LOW ALT. IT WAS A VERY UNSAFE SITUATION AND I CALLED THE TWR BY TELEPHONE. I DID NOT APPRECIATE BEING PUNISHED FOR NOT SEEING THE ARPT. IT WAS A RIDICULOUS SITUATION AND I COULD NOT AVOID IT AT ALL.