A319 Captain reported receiving a low altitude alert from ATC after becoming low on an approach while being confused with the approach automation. The Captain performed a go around then landed safely on the next approach.

Narrative

Briefed the arrival into ZZZ approximately 120 miles out. The winds were strong and gusting which favored Runway X. We briefed ZZZZZX arrival to Visual approach to Runway X; backed up by the ILSX. ATC shortly after cleared us to descend via and expect Runway Y. We made appropriate changes and briefed again for Visual to Runway Y; backed up with the ILSY. Descending through approximately 11000 ft.; ATC asked us if we wanted Runway Y when the winds favored Runway X. The winds were acceptable for Runway Y but better for Runway X so we asked for ILS to X. ATC then asked so are you requesting to fly the transition for X?" We didn't understand the question and replied " transition for ILS Runway X". ATC said ok. At midfield downwind we were cleared for the visual approach to Runway X. I armed the approach and turned base leg approximately 8 miles out. We set the altitude at 6300 ft.; the altitude for the faf. The wind was quartering tailwind as we were on base. We were descending too soon and even though we didn't go below the FAF altitude; we were low. ATC advised us of an altitude alert. We said we had the terrain in sight and continued. As we approached LOC intercept I noticed the localizer did not capture the course and we flew through the course. I corrected to back across final for the Loc to capture. It did not. While this confusion was goin on the strong winds quartering behind us were blowing us through the the course and we descended towards the 6300 ft. we were farther out then I thought. We continued to fight the this approach. We never got the approach function to work. We were high on glide path as we approached the runway and unstable. I executed a go around. We were halfway through the procedure and Tower told us to go around. We had not told him that we were already going around. They vectored us around the pattern to Runway X again. We completed litanies and checklists and set up for the same approach. This time the same thing happened. The Approach would not capture. I asked the FO (First Officer) to check the ATIS to see if ILSX was out of service. It was. We were on final approximately 7 miles out on final. I turned off the Autopilot and the flight directors and hand flew a raw data Approach. Before Landing checklist was completed and we were stable before 1000 ft. Then landed and taxied to the gate.Number one factor is not reading the complete ATIS. There is no excuse for this. Second factor is ATC must have been able to see our mistakes were possibly because we were trying to fly an approach that was inop and said nothing. Third factor is FO on probation with low time/experience.All this would have been avoided if I read the ATIS completely. All this could have been avoided had ATC suggested "localizer out of service" when they saw we were not performing as normal. This could been prevented with a FO with a little more experience. The FO does a great job but there is no substitute for experience. In 25 years at Company I have never had to go around on a visual approach because of this type of scenario. It's humbling that making such a simple mistake can start an avalanche."