I remember asking this question while doing my Approach training, and I was surprised that the answer wasn't at all straightforward.
Depending on things like terrain and flight conditions (IMC/VMC), I'll use something like "Cancel approach, continue tracking via the [ILS/RNP/extended centreline], climb to [whatever level]."
I'll usually add a brief reason for the cancellation, if I have time - I find it reduces the 'startle' confused sort of response,at a time when I really need the aeroplane to just start climbing.