The dep was ALGOI 1W so initial heading was 240.
Then I'm confused. ALGOI is in Austria about 40 miles SE of EDNY. What was your filed route back to the UK (the first part, at least)?
It would make much more sense if it were an ALAGO 4W.
I appreciate that things were busy at EDNY, but if ATC gives you an IFR clearance that doesn't connect with your filed route, as I suspect is the case here, then you really need to question that on the ground.