LTT BEING VECTORED FOR APCH GIVEN LOW LEVEL WIND SHEAR ALERT. EXECUTES MISSED APCH BUT HAS ALTDEV AND UNABLE TO ACCEPT CLRNC TO TURN R.

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ON ARR INTO MCO TCA LEVEL 4-5 TSTMS WERE IN AREA. WE WERE BEING VECTORED FOR APCH TO RWY 35 AT MCO. WE WERE GIVEN INTERCEPT TURN AND CLRED FOR THE APCH. DURING BRIEFING WITH FO WE AGREED TO A L TURN TO AVOID WX IF APCH WAS BROKEN OFF. THIS WOULD MAINTAIN GREATEST DISTANCE FROM WX. AT 7 DME TWR ADVISED THE WIND WAS 310 AT 30 KTS AND WIND SHEAR ALERT. WE THEN DECIDED TO BREAK OFF APCH AND TURN W (L) TO MAINTAIN VMC CONDITIONS BEFORE ENTERING THE WX. DURING TURN WE GAINED 200 FT AND IMMEDIATELY BEGAN CORRECTION BACK TO ALT. TWR THEN TOLD US TO TURN TO THE R. THIS TURN WOULD HAVE TAKEN US DIRECTLY INTO A LEVEL 5 TSTM THAT WAS CAUSING THE 30 KT WINDS AND WIND SHEAR ALERTS. WE INFORMED TWR THAT WE WERE UNABLE TO ACCEPT A R TURN. TWR THEN GAVE US A 250 DEG HDG AND CALLED TFC AT 9 O'CLOCK AND 3 MI. TFC THEN PASSED BEHIND US NEVER CLOSER THAN 3 MI. WE WERE THEN VECTORED FOR THE APCH TO RWY 36R; THE W RWY. WE ENCOUNTERED MODERATE RAIN AND LIGHT CHOP. RADAR INDICATED A BREAK ALONG THE LOC RWY 36R. WE COMPLETED THE APCH AND LANDED. I FEEL THE CONFLICT AND ALTDEV COULD HAVE BEEN PREVENTED IF WE HAD BEEN ABLE TO COMMUNICATE OUR INTENTION OF A L TURN. FREQ CONGESTION; TWR GIVING CURRENT WIND AND VISIBILITY RPTS AND WIND SHEAR ALERTS PREVENTED THIS COM. WX WAS MOVING W TO E. MAYBE TWR SHOULD HAVE REALIZED A R TURN WOULD PUT US INTO THE HEART OF A LEVEL 5 TSTM.