Air carrier flight crew reported a GPWS terrain warning while intercepting course for RNAV Y 24 at ROA airport. Crew executed a go-around and returned for a normal landing.

Narrative

Clear skies at departure and destination airports. Before departure the captain and I agreed that we would request runway 34 at ROA; given the wind reported in the METAR. The ATIS we listened to en route advertised visual approach to 24 in use and wind that no longer favored 34; so we changed the FMS to RMAV Y 24 to back up the visual approach. Roanoke Approach vectored us onto a downwind south of the field on heading 060 and 6000'. We descended to 5000 feet. We considered waiting until abeam PROSE to turn towards it for a base leg; but opted not to because of the high terrain southeast of PROSE. Instead we made a base turn earlier to intercept course between PROSE and HIBAN; as it looked like it would keep us higher than terrain. We descended to 3700' using a 900fpm descent rate. When level at 3700; about a mile south of course we got EGPWS 'Terrain; terrain; pull up.' We climbed to MSA and called our go-around to ATC. We had visual contact with all terrain the area around greater than 1000 feet vertical clearance the entire time. The controller gave us the current wind at the field and asked what we wanted to do. We requested the full LDA approach for runway 6. Approach was briefed and flown without further abnormalities. Once on the ground the CA pointed out that the company 10-7 pages recommend to join the approach to 24 outside of PROSE. We reviewed the General page; but I missed the company Arrival page during the arrival briefing in flight.