CL65 LNDG MDW IS CONFUSED WITH ATC'S CIRCLE-TO-LAND CLRNC.

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ON FLT TO KMDW WE HAD A DISCREPANCY WITH THE TWR. THE ARPT WAS OPERATING ILS RWY 31C CIRCLE TO LAND RWY 22L. ON CHK IN WITH TWR WE WERE JOINED UP ON THE ILS RWY 31C OUTSIDE RUNTZ INTXN. TWR INSTRUCTED US TO CONTINUE 'INBOUND;' DSND TO 2000 FT OR LOWER AT OUR DISCRETION. BOTH MY FO AND I FELT THE INSTRUCTION TO CONTINUE INBOUND WAS INTENDED TO GET US CLOSER IN BEFORE TURNING DOWNWIND FOR RWY 22L. AT ABOUT 3 MI OUT WE TRIED TO GET ON WITH TWR; BUT DID NOT SUCCEED. AT ABOUT 1 MI OUT WE DID AND ASKED IF WE COULD TURN DOWNWIND. THEY REPLIED WITH 'FLY OVERHEAD AND MAKE R TFC.' LNDG WAS UNEVENTFUL. I FEEL THE INSTRUCTION TO CONTINUE INBOUND WAS VAGUE AND CONFUSING. 'INBOUND' TO US MEANT STRAIGHT TO THE ARPT. ON DOWNWIND YOU ARE NO LONGER INBOUND. OTHER ACFT THAT DAY WERE BEING TOLD TO CIRCLE E AT THEIR DISCRETION; OR # 2 CIRCLE FOR RWY 22L. I BELIEVE THE TWR CTLR MAY HAVE BEEN TRYING TO GET US IN CLOSER TO MAKE ROOM FOR DEPS AND THEN FORGOT US. OBVIOUSLY; THE PROB WAS A RESULT OF CONFUSION OVER THE INSTRUCTION TO CONTINUE INBOUND; AND THAT INSTRUCTION SHOULD NOT BE USED IF TWR WANTS AN ACFT TO CIRCLE.