A B737-700 FLC TURNS FOR A WRONG RWY APCH DURING A PLANNED CIRCLING APCH TO RWY 22L AFTER PASSING THE FAF RWY 4R AT MDW; IL.

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ON LAST LEG OF LAST DAY OF 3-DAY TRIP; I WAS PF. ALL OPS WERE NORMAL UNTIL ARR AT MDW. THE INITIAL ATIS CALLED FOR GUSTY WINDS FROM THE SSE; AND DIRECTED ILS RWY 31C CIRCLE TO LAND RWY 22L. WHEN THE CAPT (PNF) CHKED IN WITH ORD APCH; WE WERE ADVISED OF A NEW ATIS WHICH TOLD US TO EXPECT VECTORS TO ILS RWY 4R CIRCLE TO LAND. NO CHANGE IN WINDS WERE PROVIDED; NOR WAS A CHANGE TO THE LNDG RWY MENTIONED. THE PNF READBACK ACKNOWLEDGED 'VECTOR TO ILS RWY 4R; CIRCLE TO LAND RWY 22L.' ORD APCH OFFERED NO CORRECTION TO THIS READING. IN THE COCKPIT; WE DISCUSSED THE UNUSUAL ROUTING; THEN REPROGRAMMED THE FMS AND REBRIEFED HOW WE PLANNED TO EXECUTE THE CIRCLING MANEUVER. THE ILS RWY 4R WAS FLOWN NORMALLY; AND WE WERE HANDED OFF TO TWR AT THE OM. TWR CLRED US TO CIRCLE; BUT STILL DID NOT MENTION A CHANGE IN LNDG RWY. AT ABOUT 2-3 NM FROM THE FIELD; WE STARTED TO MANEUVER E FOR A L DOWNWIND TO RWY 22L. SHORTLY THEREAFTER; TWR DIRECTED US TO MANEUVER W FOR A R DOWNWIND (AGAIN NO RWY MENTIONED). WE REVERSED OUR TURN AND MANEUVERED FOR A R DOWNWIND TO RWY 22L. TWR THEN ASKED US IF WE HAD ENOUGH ROOM TO TURN FINAL FOR RWY 13C. THIS WAS THE FIRST MENTION WE CAN RECALL OF RWY 13C BEING THE ACTIVE RWY. WE RESPONDED THAT WE HAD BEEN MANEUVERING FOR RWY 22L AND COULD NOT LAND ON RWY 13C FROM OUR CURRENT POS. OUR CLRNC WAS THEN CANCELED; AND WE WERE REVECTORED TO THE ILS RWY 4R CIRCLE TO LAND RWY 13R. THIS WAS FLOWN NORMALLY; AFTER ATIS WAS FULLY OBTAINED AND PERFORMANCE DATA COMPUTED. ATC COMS AND READBACK ACKNOWLEDGEMENTS APPEAR TO BE THE ROOT ISSUE WITH THIS INCIDENT. WHILE WE MAY HAVE MISSED IT; BOTH THE PF AND PNF NEVER HEARD A CHANGE TO THE LNDG RWY. FURTHER; APCH DID NOT CORRECT OUR READBACK EXPRESSING INTENT TO CIRCLE TO RWY 22. LASTLY; MDW TWR DID NOT SPECIFY THE LNDG RWY IN ITS XMISSIONS. RECOMMENDATION: RE-EMPHASIZE ATC ISSUE COMPLETE CLRNCS; AND THEIR NEED TO CONFIRM AIR CREW READBACKS ARE CORRECT. IN OUR COCKPIT; WE SHOULD HAVE REMONITORED ATIS WHEN ADVISED IT HAD CHANGED. FURTHER; WE SHOULD HAVE QUERIED BOTH APCH AND TWR REGARDING THEIR NONSTANDARD ROUTING CLRNCS FOR OUR EXPECTED LNDG RWY. SUPPLEMENTAL INFO FROM ACN 537574: AFTER BEING BASED AT MDW FOR THE PAST 8 YRS; THIS IS THE FIRST TIME I'VE HAD A COMPLETE BREAKDOWN IN COM WITH APCH AND TWR. APCH KNEW I HAD ATIS INFO; BUT DIDN'T PASS ON THE CHANGE IN LNDG RWY LIKE THEY USUALLY DO WITH WINDS AND ALTIMETER SETTING. CHKING ON WITH TWR; HE TOLD US TO CIRCLE AND LNDG CLRNC SHORTLY. WE WERE VMC AND IN THE PAST; I'VE BEEN GIVEN A VECTOR TO A L DOWNWIND FOR RWY 22L; SO I THOUGHT THIS IS WHAT THEY HAD IN MIND. ALL OF US FAILED TO COMMUNICATE WITH EACH OTHER FOR WHATEVER REASONS AND LUCKILY IT MERELY TURNED INTO AN EMBARRASSING SITUATION; BUT ONE WE QUICKLY RECOVERED FROM WITHOUT ANY DANGER TO ACFT SAFETY.