ATC over here use the following language in that case:
"......report cancelling IFR or starting missed approach."
so in any case you should be on the 'safe' side, either
continue towards the runway in use, and be able to stay VMC all the time,
or
start missed approach by turning towards SNU VOR and climb.
wolfgang , VIE
PS: presently i don't know whether the pilot had filed VFR oder IFR