Think you may be assuming that you have to fly the whole RNAV procedure, this is not correct, it's the same as an ILS, VOR etc. Can be on vectors and then be cleared direct to a point prior to the final approach fix just like being given an intercept heading for an ILS, can ask for headings to get around the weather then ask for direct to a point prior to the faf. Exceptions to this are quite rare, kathmandu for example, where an RNAV procedure is to get in around terrain rather than just a way to get to a runway, in these cases it's assess if you will go-around or land. If the weather is after the final approach fix you should have already made the decision based on the wx radar, just like an ILS, also just like an ILS, if it is after the faf go-around and ask for a heading or fly through it. I assume this is a flight sim question or just a curious enthusiast, if not, ask your instructor or next friendly Captain about it if out of training.