A CRJ-200 FLT CREW REPORTS WHEN DEPARTING LGA ON THE LGA1 DEP THEY ARE OFTEN CLEARED DIRECT COL VOR; WHICH IS NOT ON THE DEP ROUTE; OFTEN CAUSING CONFUSION RESULTING IN A DELAY IN MAKING THE TURN.

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THIS EVENT IS TO DESCRIBE A RECURRING PROBLEM ON THE LAGUARDIA ONE DEPARTURE; WHICH CAN RESULT IN A COURSE DEVIATION. OUR CLEARANCE WAS TO DEPART LGA RUNWAY 4 -- VECTORS TO WHITE INTERSECTION -- THEN AS FILED. AFTER CLIMBING THROUGH 10000 FEET; NEW YORK DEPARTURE CLEARED US DIRECT COL; DIRECT WHITE THEN ON COURSE. COL IS NORTH OF WHITE AND NOT IN THE FMS NOR PART OF OUR CLEARANCE. DURING THE PAST MONTH; THIS IS THE 3RD TIME I'VE BEEN CLEARED DIRECT COL; AND IT'S ALWAYS WITH A SENSE OF URGENCY FROM THE CONTROLLER. THEY EXPECT AN IMMEDIATE TURN DUE TO TRAFFIC BUT NEVER OFFER A HEADING UNLESS ASKED. DOES ATC REALIZE COL IS NOT PART OF OUR DEPARTURE CLEARANCE? COMPLICATING THINGS FURTHER IS THE FMS. THERE ARE 2 COL VOR'S IN THE FMS SO IT ASKS THE USER TO PICK THE CORRECT ONE WHILE ATC IS DEMANDING A TURN. IN THIS INCIDENT; WE WERE IN THE TURN TOWARDS COL WHEN ATC ASKED US IF WE WERE GOING DIRECT. I DON'T BELIEVE ANY ERRORS WERE MADE BY US OR ATC; BUT EVERYONE SEEMS TO GET FRUSTRATED BY THIS CLEARANCE. I DO NOT BELIEVE AIRCRAFT SEPARATION WAS VIOLATED. IN HINDSIGHT; I SHOULD HAVE ASKED FOR AN INITIAL HEADING TO COL. BECAUSE OF THE RECURRING PROBLEM; PERHAPS A NOTE SHOULD BE ADDED TO THE DISPATCH RELEASE WARNING PILOTS ATC MAY ISSUE A CLEARANCE TO COL WHEN BEING VECTORED TO WHITE.