Missed approach relevant to the runway you are on, seems the only logical answer, UNLESS, they have passed alternative missed approach instructions (rwy heading to 3000', etc)
L337. I would also be careful of carrying out a visual manoeuver having gone 'visual' in the united states.
We were landing aircraft on something-Right in the US (possibly Boston)recently, when an (US)aircraft someway behind had to break off the approach (parallel in use). The pilot was visual. What ensued was a fairly urgent exchange over the radio. The controller wanted a standard missed approach. The pilot wanted to do 'a quick turn right, and give it another go'. After several increasingly emphasised calls from tower controller, he finally got the message.
There were at least 4 calls on the subject with no other calls in between. The missed apprach really keeps everyone separate and safe, and gives people time to decide what to do next.