BE9L INSTRUCTOR AND STUDENT; ON IFR APCH TO KHKY; ARE ISSUED A MISSED APCH INSTRUCTION AND ARE CHALLENGED BY HKY TWR AS FLC PROCEEDED TO THE MISSED APCH AT THE ARPT.

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CONDUCTING ACFT CHKOUT TRAINING IN KING AIR 90. INST DEP; ENRTE; ARR PHASE WITH IFR CLRNC FOR A 'ROUND ROBIN' IFR FLT WITH MULTIPLE APCHS AT SEVERAL ARPTS. KHKY WAS FIRST ARPT; AND WE HAD BEEN CLRED FOR THE ILS RWY 24 APCH. I WAS IN THE R SEAT AND INSTRUCTING PLT IN THE L SEAT. THE L SEAT PLT WAS PF; AND I WAS HANDLING COMS TO LIGHTEN THE WORKLOAD OF THE OTHER PLT ON THIS SESSION. I WAS PIC AND HE; PF. HE WAS NOT PIC; BECAUSE HIS FLT REVIEW HAD EXPIRED AND I HAD NOT YET COMPLETED ALL OF THE REQUIRED GND SCHOOL TO SIGN HIM OFF. WHEN ZTL CLRED US FOR THE APCH; WE WERE ADVISED THAT HICKOY TWR HAD TFC TAKING OFF AND LNDG ON RWY 6; THE RWY FAVORED FOR THE WIND; AND THAT WE MIGHT BE ASKED BY THE TWR TO BREAK OFF THE APCH. I UNDERSTOOD AND ACKNOWLEDGED THAT. CTR HANDED US OFF TO THE TWR; AND I CONTACTED THE TWR WITH OUR POS. THE TWR ADVISED US OF THE VFR TFC IN THE PATTERN; AND OF THE ACTIVE RWY BEING RWY 6. WHEN ASKED OUR INTENTIONS; I REQUESTED A LOW APCH FOLLOWED BY A PUBLISHED MISSED APCH. I WAS TOLD TO RPT THE OM. WE ENCOUNTERED VMC WELL BEFORE THE OM; BUT FOR TRAINING PURPOSES; I DID NOT RPT FIELD IN SIGHT. WHEN I RPTED THE OM; THE TWR INSTRUCTED US TO EXECUTE THE MISSED APCH. THE NORMAL PROC IS TO ABANDON THE DSCNT; CLB TO APCH ALT; AND CONTINUE TO THE MISSED APCH POINT BEFORE COURSE CHANGE; AND THEN FOLLOW THE PUBLISHED PROC. THE PF PROCEEDED TO FLY IN ACCORDANCE WITH THE STANDARD PUBLISHED MISSED APCH. THE TWR EXPECTED US; APPARENTLY; TO ABANDON THE APCH IN VMC; BUT SAID; 'MISSED APCH' INSTEAD OF 'BREAK IT OFF' OR 'ABANDON.' WE WERE THINKING IFR PROC. I BELIEVE THE TWR ISSUED AN AMBIGUOUS INSTRUCTION. VFR TFC WAS GIVEN PRIORITY OVER IFR TFC. THE TWR WAS DISCOURTEOUS ON THE AIR WITH US; AND BELLIGERENTLY DISREGARDED MY ATTEMPT TO BRIEFLY EXPLAIN WHY WE CONTINUED ON THE APCH COURSE.