Fractional Captain reported a GPWS terrain warning while on a visual approach. Pilot conducted a go around to landing.

Narrative

This was a ferry flight with no passengers on board from ZZZ to ZZZ1. I was Non flying pilot in left seat with IOE (Initial Operating Experience) flying pilot in right seat. We had briefed and discussed the many complications affecting the arrival to ZZZ1 based on the abundant information in FD (FliteDeck) Pro; etc. The wind situation dictated landing on XXL. ZZZ Approach vectored us towards ZZZ1 airport and then cleared us for the visual to Runway XXL. ZZZ Approach Control waited until we were about abeam ZZZZZ to hand us off to ZZZ1 Tower. We had initiated a shallow descent and were at approximately 4;700ft. when we received a GPWS Terrain warning. We initiated a GO Around procedure to comply with the GPWS warning and climbed to 5;400ft. I called the Tower to report our Go Around and got no response. We continued to reconfigure per Go Around profile and I called the Tower a second time. The Tower controller acknowledged and said to overfly the field which we did. Knowing we were approaching ZZZ2 airspace (2.5 nm north of ZZZ1); I called the Tower again and asked for heading/altitude instructions. The Tower controller said to make an immediate right turn and reenter the traffic pattern at 3;900ft. We complied and were then cleared for a right base visual to Runway XXL and landed.I should have flown the leg to ZZZ1. There were too many variables for my IOE to adapt to quickly enough. My IOE had limited experience flying in mountainous terrain. We had extensively briefed the arrival and approach procedure. I overestimated his skill level and under-estimated the complexity of the approach and ATC interactions. By the time we were handed off to ZZZ1 Tower we were maneuvering for a visual as instructed. Knowing the steep gradient required for the GPS-B; we had previously discussed flying the visual to the left of the Runway center line ( RNAV visual XXL) to allow for a more shallow descent angle to Runway XXL. Flying the GPS-B as published would have kept us clear of terrain. There are notes on the ZZZ1 page XX-X-XX which indicate ZZZ Approach will not issue clearance for the RNAV Visual XXL. This must be requested from ZZZ1 Tower. When we checked on with the Tower we were told to fly direct to the Runway. We were cleared for a visual approach. During the go around we were expecting the Tower to provide heading and altitude instructions. These were provided after multiple calls. Traffic volume was a significant factor in the work load for all involved.