I would fly the published missed approach procedure for the instrument approach which we were previously informed we were doing.
For example on contact at MAN you would be informed say "vectors for the ILS 23R" if say the gods have shined on manchester and it isn't raining for once and we request and get cleared for a visual. The missed approach off said visual would be the missed approach for the ILS 23R.
Its a bit like when you do a circling approach your missed approach is the approach that you decended on to cloud break to start the circle. Although to be honest knowbody has ever given me a sensible method of safely doing this.