B737 flight crew reported Bank Angle warning during approach.

Narrative

ZZZ Approach gave us a shortcut to final and left us high. While expediting our descent; ATC continued to ask us to slow down. ATC attempted to clear us for a visual approach; this caught us off guard because there was a broken cloud layer at 2000 ft and we were expecting an ILS. Additionally there was converging traffic for a parallel runway on the south side which we had insight while above the cloud layer 1000 ft below us. Both aircraft requested an ILS. While turning final with LOC captured; ATC advised we had to take a short vector for spacing in order to clear us for the ILS. This was level at 3000 ft and approximately 10 miles from the runway. I deselected the LOC and must not have pushed heading hard enough. While turning 30 degrees off the LOC and maintaining traffic insight; we turned past our assigned heading with the autopilot in CWS R mode. About 20-30 degrees past our assigned heading; autopilot was turned off and I made an immediate turn back to our assigned heading. Simultaneously; ATC cleared us to turn left and re-intercept the LOC. In the turn back; we received 1 bank angle; bank angle aural alert. This was also corrected immediately. Heading mode and LOC were selected. Approximately 1 mile from glide slope intercept at 3000ft and established on final; we received our approach clearance. Tower confirmed that we could accept the approach clearance. We agreed and continued to configure on a normal profile above our stabilized approach criteria. Normal approach and landing from the final approach fix inbound.