Turboprop flight crew is cleared for the VOR Runway 17 approach to NYL two miles from BZA; after initially being given descent to 2;700 FT told to expect a visual approach. The crew inadvertently selects the VOR DME Runway 17 approach which has a procedure turn altitude of 4;000 FT. ATC and the Captain simultaneously detect the error and a visual approach ensues.

Narrative

First Officer checked in with NYL Approach. We were told to expect a visual approach and given descent to 3;000 FT. Approaching BZA VOR; Approach gave us a further descent to 2;700 FT and asked if we had the airport in sight. We were IMC and reported such. Approach asked if we wanted to execute the VOR Runway 17; circle Runway 8. We agreed that would work and were cleared for the approach at less than 2 NM from BZA (the IAF). In our rush to set up for the approach and turn outbound; we both looked at the chart for the VOR/DME Runway 17 (13-1); which was opposite the NYL 10-9 in both of our chart binders. We turned outbound and were VMC almost immediately (but now pointed away from the airport). About 4 NM north of BZA; I commented that the terrain seemed high and; after looking a the plate again; I added that the procedure turn altitude was supposed to be 4;000 FT. At about this time Approach advised that we were entering and area of rising terrain and asked if we were flying the VOR/DME or the VOR. We immediately fessed up to our mistake and Approach gave us a right turn direct to BZA for the remainder of the VOR approach. We saw the airport about over BZA; advised Approach; and were cleared for a visual approach to Runway 8. Remainder of the approach and landing were normal.I believe this error could have been avoided in a couple of ways. NYL Approach should not have cleared us for an approach at less than 2 NM from the IAF after telling us to expect a visual approach. That said; I should have refused the clearance and asked for vectors while we set up the flight deck and briefed the approach. This would have given us a chance to realize we were looking at the wrong chart. Furthermore; since VMC conditions prevailed north and west of NYL; we would have been able to accept a visual approach shortly after passing BZA westbound; making the VOR approach unnecessary.