CE-560 pilot reported a controlled flight toward terrain event during a night visual approach. Flight crew performed a go-around and landed.

Narrative

While descending on the STAR; we were able to call the airport insight. After canceling IFR; and being changed over to the common traffic advisory frequency; the Captain initiated a flight path which was offset to the west of the RNAV (GPS)-B; because of the rising terrain to the east. Between waypoint ZZZZZ and ZZZZZ1 there is a hill top to the east at 4;174ft. The Captain descended the plane too low and began turning to the east; to set up for landing; to soon after passing ZZZZZ. The yellow ground PROX alert and red pull up boxes illuminated along with the corresponding audio alerts. I called out for a go around and we immediately initiated the necessary actions. We climbed to 5000 feet. We contacted approach and communicated with them our intentions. We overflew the runway. Made a right traffic pattern and landed the plane safely on Runway XXL.Due to the fact that we had canceled IFR before reaching ZZZZZ2 and we were cleared for the visual approach; if I had been the one flying; I would have asked for the RNAV visual Runway XXL to have been loaded into the FMS. I would have gone direct to ZZZZZ2 and flown that profile all the way into ZZZ. If we would have done that; we would not have had any terrain alerts. Landing into ZZZ at night; over the mountains; and after the tower had closed would have been a non issue. There was much discussion between the PIC and SIC about what was the correct and legal procedure; and due to the uncertainty and non-clarity; an incorrect decision was made. There needs to be a much clearer procedure for after the tower closes at ZZZ.