I think that your "friend-of-a-friend" has some confusion here. Being cleared to land in the USA does not mean that ATC have now decided to terminate your instrument approach and forcibly switched you to a visual approach ( whereby a go-around is as for a visual i.e. climb straight ahead and ask for further instructions). Unless the pilot states that it is now a visual approach, a go-around must follow the published procedure ( think of JFK rwy 31L/R, clearance to land in good weather, is often given some miles out, even though there is traffic ahead on the approach, but a decision/instruction to go-around, cannot require the pilot to fly straight ahead, but to follow the published procedure, which requires a turn to avoid Manhattan,( and Newark and La Guardia's traffic).However, in practice,as stated, the full published procedure is rarely completed as ATC will give further instructions during the manoeuvre.
Perhaps some kind soul with the latest AIM might throw some official references for you?
Over 30 years 'Speedbird' flying into the USA and not received the 'teaching' you mentioned
