FLT OF A SAAB 340B FAILED TO FOLLOW THEIR CLRNC IN TRANSITIONING TO THE PUBLISHED APCH DUE TO AN ERRONEOUS INDICATION OF THEIR ADF NAV RADIO INDICATION. AFTER DISCOVERING THEIR ERROR; ATC GAVE VECTORS TO THE PUBLISHED APCH.

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ON INITIAL APCH WITH ZKC AND LCL EVV APCH CLOSED; ENRTE FROM SPI TO EVV; RECEIVED CLRNC FOR ILS RWY 22 EVV. CLARIFIED WITH CTR TO PROCEED DIRECT TO VICCY COMPASS LOCATOR (IAF) AND EXECUTE THE PROC TURN. A POSITIVE IDENT AND APPARENT GOOD SIGNAL SUITABLE FOR NAV WE TURNED DIRECT (VICCY LOM) AND TUNED BOTH ILS RECEIVERS TO THE ILS RWY 22 EVV FREQS; WHILE HOLDING THE DME PXV VOR FOR DISTANCE REF. THE FEEDER RTE FROM PXV TO VICCY SHOWS DISTANCE OF 19.3 DME. HVY TSTMS WITHIN 25 MI OF THE AREA THAT JUST MOVED S OF THE ARPT GAVE US CONCERN FOR THE ADF; BUT IT APPEARED TO GIVE A GOOD SIGNAL WITH IDENT. AS OUR DME HELD ON PXV APCHED 19 DME I WATCHED FOR NEEDLE MOVEMENT (STATION PASSAGE TO TURN OUTBOUND ON PROCEDURE TURN). THE NEEDLE SWUNG 180 DEGS AND I TURNED NE (OUTBOUND). HOWEVER I NOTICED BOTH LOCS HAD RED FLAGS AND NO NEEDLE INDICATION. OVER THE MARKER THE LOC SHOULD HAVE A STRONG SIGNAL SO I IMMEDIATLY SWITCHED TO PXV VOR TO REFRENCE OUR POSITION. IT SHOWED 010 DEG RADIAL 20 DME. WE IMMEDIATELY CALLED KC CENTER AND WENT MISSED APCH AND CLBED TO 5000 FT HDG N. WE REPORTED UNRELIABLE SIGNAL OF VICCY. WE WERE THEN GIVEN A VECTOR TO FINAL APCH AND LANDED WITHOUT FURTHER PROBLEMS. WE CONTINUED TO MONITOR VICCY LOM AND THE SIGNAL CONTINUED ERRATIC MOVEMENT UNTIL OUR LANDING IN EVV. MY LESSON IN THIS IS TO NOT ACCEPT DIRECT NAVIGATION TO COMPASS LOCATORS; BUT RATHER DIRECT PXV VOR FOR THE FEEDER ROUTE TO ESTABLISH OVER THE IAF.