A PC12 PLT; WHEN CLRED FOR THE APCH TO GAI; INTERCEPTED FINAL APCH COURSE INBOUND INSTEAD OF FLYING THE APCH AS PUBLISHED.

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MY TRAINING PARTNER AND I WERE ENRTE TO GAI. WE REQUESTED THE RNAV (GPS) APCH THAT CONTAINS A HOLDING SHAPE PROC TURN; AND WERE TOLD TO EXPECT THE APCH. WE WERE GIVEN HEADING INITIALLY FOR THE APCH AND LATER SWITCHED CTLRS; THAT GAVE US DIRECT TO THE IAF MAINTAIN 3000 FT AND CLRED US FOR THE APCH. BOTH ME AND MY PARTNER WERE UNDER THE IMPRESSION THAT WE WERE VECTORED FOR THE APCH AND DIDN'T HAVE TO REVERSE COURSE AND PROCEEDED INBOUND; WE INTERCEPTED THE COURSE AT AN ANGLE OF APPROX 60-80 DEGS. AS SOON AS WE PASSED THE IAF AND INITIATED OUR DSCNT THE CTLR CAME ON AND ASKED IF WE ARE PROCEEDED DIRECTLY INBOUND; WE SAID 'YES.' THE CTLR SAID 'THAT IS OK IF THAT IS WHAT YOU WANT TO DO; BUT THAT IS NOT WHAT I EXPECTED; JUST CANCEL IFR ON THE GND.' SINCE WE WERE JUST PAST THE FIX AND HAVE JUST BEGUN OUR DSCNT TO THE NEXT STEP-DOWN (2200 FT); WE IMMEDIATELY CLBED BACK TO 3000 FT AND ENTERED THE HOLDING; MADE 1 TURN AND PROCEEDED WITH THE APCH. THERE WAS NO CONFLICT AND NO FURTHER COM IN REGARDS TO THE PROC TURN WAS MADE BY US OR THE CTLR.