Commercial Fixed Wing
Flight Crew Air Transport Pilot (ATP); Flight Crew Instrument; Flight Crew Multiengine
Communication Breakdown; Confusion; Distraction; Situational Awareness; Training / Qualification
ATC Issue All Types; Deviation / Discrepancy - Procedural Clearance; Deviation / Discrepancy - Procedural Published Material / Policy; Inflight Event / Encounter Weather / Turbulence
Flight Crew Returned To Clearance
Airport; Procedure; Human Factors; Environment - Non Weather Related
We checked on with ZZZ Approach and requested the RNAV Z XX via ZZZZZ.  ATC advised unable due to traffic for Runway YY and told us to expect a visual to either [Runway] XYR or YY. The ATIS was reporting a high OVC and a low scattered layer; I think at 700 feet; we did not think we could accept a visual so we requested the RNAV Z YY. The Controller said we could expect that but we would need to be vectored; I said that was fine and also offered direct ZZZZZ1. We were vectored pretty far to the south east; over the river and past ZZZZZ1. We were finally given a vector to intercept final at or above 3;000 and cleared the approach. The CA tried to activate the approach and we discussed not activating RNPs; we had descended some while on the final course in VMC (I recall about 1;900 feet) and decided to cancel approach. We flew the missed and were vectored for the RNAV Y YY; that approach was uneventful.The CA and I had a full debrief and we learned a few things.The first issue was the Controller seemed unaware that we are unable to accept vectors to final on an RNP. After the go-around he asked the reason why and I told him that we can accept direct to or an intercept on a published leg but not vectors to final. He said thanks and I think he just did not know; but perhaps this should be known by all the controllers that work company aircraft.The second thing I learned is that I need to trust my gut feeling in these situations; once we were vectored past ZZZZZ1 I was anticipating that the Controller was going to vector us on to final; perhaps I could have asked him or requested the RNAV Y.The CA was ready to accept vectors to final and activate the approach; he began descending on the final course and I reminded him that we cannot accept that as it may cause issues with VNAV. The CA is a good pilot and sharp but is a newer captain and hadn't flown in over a month so the rustiness probably contributed.Overall I think we handled the situation as best we could and did not compromise safety in any way; especially with a missed approach not at the MAP which is something we rarely do on the line.
Air carrier First Officer reported confusion with ATC's clearance resulted in a missed approach.