I fly into Madrid and the Missed Approach Procedures are a bit complex compared to most oter airports.
However, you surely must fly the missed approach procedure because:
1. It is what ATC is expecting. Do they know you emergency turn procedure? It may well be different to mine.
2. Missed approach procedures are designed to be flown engine out - if you are not above the max landing weight for that approach you will meet the terrain restrictions/ WAT climb limits.
3. Engine out emergency turns etc are designed for take offs. At Madrid, it is likely that you will start the Go Around at approx 120 kts, 200' AAL and before the start of the runway.