Actually, this just sounds like a visual approach to runway 26 from the north and east, over the Sandia Mountains. The flight would be up at around 14,000 feet until about ten-fifteen miles from the airport, then a left turn parallel the peaks as you cross into the valley, followed by a close-in right to final, as the airport is only a few miles from the hills. I've done the straight-in visual to Rwy 26 in a MU-2, and it's pretty "interesting" even from the cockpit.
And for what it's worth, while I respect and appreciate the professionalism of ALL major airline crews, it IS a well-worn perception amongst us controllers that SWA crews in general are more willing to do the "unusual".
Thanks guys!