RAPIDLY CHANGING WX AND A MSA WARNING FROM TWR RESULT IN A MISSED APCH DURING A SINGLE PLT CARGO ARR AT CRW; WX; AT DAWN.

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ON THE GAR FROM A VISUAL APCH TO RWY 15 AT CRW; REQUESTED THE ILS TO RWY 23. WENT AROUND DUE TO A FAST MOVING RAIN STORM AND WINDSHEAR ALERT WHILE ON FINAL. TWR VECTORED ME FOR THE APCH TO RWY 23. ON INITIAL VECTOR; I WAS AT 3000 FT MSL ON A 090 DEG HDG. I WAS THEN INSTRUCTED TO TURN ON A DOGLEG VECTOR TO INTERCEPT THE LOC. I WAS THEN CLRED TO 2600 FT MSL AND TO MAINTAIN TILL ESTABLISHED ON THE LOC AND CLRED FOR THE ILS RWY 23 APCH. WHILE ON THE APCH; THE WX THAT I EXPERIENCED ON RWY 15 APCH WAS MOVING DOWN THE APPROX CTRLINE OF RWY 23 AND WINDS APPROX 260 DEGS AT 14 KTS. I INTERCEPTED THE LOC MAINTAINING 2600 FT MSL TILL GS INTERCEPT. AT 1 MI FROM THE OM IS WHEN I RECEIVED A LOW ALT WARNING FROM TWR. THEY INSTRUCTED ME TO CLB IMMEDIATELY TO 2600 FT MSL. I CLBED TO 2600 FT MSL; STATED THAT I HAD BEEN ON GS; WHICH THE CTLR SOUNDED SURPRISED THAT I HAD ALREADY INTERCEPTED THE GS. THE CTLR THEN STATED THAT I COULD THEN CONTINUE THE APCH. I STATED I COULD NO LONGER CONTINUE DUE TO EXECUTING HIS PRIOR INSTRUCTIONS WHICH CAUSED FULL GS DEFLECTION. I WAS THEN VECTORED FOR THE ILS 23 AGAIN. I SHOT THE APCH AND HAD RWY ENVIRONMENT; THIS TIME ABOUT 4 MI OUT. I BELIEVE WHAT LED TO THIS INCIDENT WAS THE RAPID CHANGE IN WX THAT WAS EXPERIENCED. THE ALTIMETER SETTING WHEN I HAD FIRST CONTACTED APCH WAS 29.52. THEN; WHEN ON FINAL; IT HAD CHANGED TO 29.60 ON RWY 15. THE CTLR STATED THAT WHEN I WAS ON THE APCH THE FIRST TIME THAT THE PRESSURE WAS CHANGING RAPIDLY. I BELIEVE THAT I HIT THE RAPID CHANGE IN PRESSURE AT THE POINT 1 MI OUTSIDE OF THE OM WHICH ALERTED THE CTLR TO A LOW ALT SIT. THE CORRECTIVE ACTION TAKEN WAS TO ISSUE A CLB WHICH THE CTLR DID; AND I CAME BACK FOR ANOTHER APCH. AS FAR AS HUMAN PERFORMANCE CONSIDERATIONS WERE CONCERNED; THE INFO THAT I HAD RECEIVED FROM THE CTLR HELPED ME TO MAKE A SOUND DECISION ON THE GAR FROM RWY 15. THE INFO THAT HE PROVIDED ON THE INITIAL APCH SHOWED THAT IT WAS WITHIN LIMITS FOR THE ACFT WHILE ON THE APCH. THE CTLR DID ASK IF I WANTED TO DISCONTINUE THE APCH AND HOLD TILL THE STORM MOVED AWAY. I STATED THAT THE CONDITIONS WERE NOT THAT BAD AND WOULD CONTINUE THE APCH.