some airports will allow you and help you to descend imc and then resume your own navigation before being on final approach.
Yes you can certainly do that. They need to agree to that first, and you are not really flying a "missed approach" - what happens is that you go down the ILS glideslope, or the VOR/NDB inbound track, and then break off when visual. The published missed approach does not get flown as such.
But "before being on final approach" is not really correct because it is from the final approach track that one normally breaks off when visual.