Pilot reported an airborne conflict with a possible UAS during final approach. Pilot did not take evasive action and continued the approach.

Narrative

Tower informed us of a possible drone reporting and asked us to keep an eye one. Once vectored onto final for an ASR (Airport Surveillance Radar) [approach] RWY 15; Instructor Pilot (IP) noticed a white flashing light at the 2 o'clock position. IP reported to tower and were informed a helicopter was in that location. While communicating with Tower IP noticed a second flashing white light between the reported helo traffic and our aircraft. Light appeared to be less than .5 miles away and about 500 ft higher than our airftacts altitude. IP queried tower if there was other traffic in the area and Tower reported 'negative'. No colored position lights could be seen on the object with only a flashing white light visible and moving in the opposite direction of our aircraft. Tower Controllers continued the ASR but forgot to inform the aircraft to decend. We arrived at 2000ft at the MAP and Tower told us to execute missed approach and informed all aircraft the airspace was now closed in order to sanitize the airspace.