Narrative:

While en route to ZZZ we received a NOTAM indicating the runway edge lights were inoperative for xx/xy. I discussed my plan with the first officer to shoot the approach to runway xx and see how it looks; thinking there were still runway end identifier lights. I briefed the approach emphasizing terrain being the biggest threat. If it didn't look safe we'd execute a go-around and divert to our alternate (ZZZ1). On arrival; ZZZ TRACON informed us a prior aircraft had reported the lights out and if we went missed to fly the published missed and ZZZ1 would be the alternate. During the approach; we were notified by someone on CTAF that all the runway lights were out including the runway end identifier lights. We broke out of the bases prior to the 1;000 feet call and continued to the 500 feet call when I called for a go-around. The go-around started out well following SOP's. I requested the a/P on right away and we contacted ZZZ TRACON while climbing. This is when things started going haywire. ZZZ TRACON gave us a climb to 4;300 feet and a right turn to VOR. The airplane was rapidly approaching 4;300 feet and I focused my attention on altitude; selected V/south to slow the descent. We ended up passing 4;300 feet by about 300 feet and I V/south back down to 4;300 feet. The first officer reported that we had passed 4;300 feet and ZZZ TRACON responded climb to 6;000 feet. I didn't hear the climb to 6000 feet instructions. After a short time I notice we weren't turning to VOR and engaged heading sel and entered a right turn towards VOR. A few seconds after initiating the turn; ZZZ TRACON called a terrain warning climb 6;000 feet turn right direct pdz; we were already in the turn and I flch'ed a climb to 6;000 feet. Once we were headed towards pdz and at 6;000 feet there was a little confusion to which runway ZZZ1 was using. ATIS was calling for 26's but ZZZ TRACON said they were landing the 8's. We were able to load the approach and land without further incident. The first officer and I talked about the event later and neither of us remembers seeing any epgws warnings or cautions from the aircraft. I was pretty task saturated for a short time; so there could have been. We also discussed why the aircraft wasn't tracking correctly with LNAV engaged and couldn't figure it out. Had we not sequenced the box correctly? I talked with dispatch after landing and he saw that we received the NOTAM for the HIRL but not the REIL's being U/south. He told us that we were scheduled to give it another try in 45 minutes; but I called at that point. I felt; fatigue; contributed to this event and filled a fatigue reported for this event. I would have done a few things differently. 1. Not even attempt the approach; coordinate with dispatch much sooner about diverting to our alternate. 2. Keep a better scan. I was overly focused at maintaining altitude and not aircraft track.

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Original NASA ASRS Text

Title: B757-200 flight crew reported receiving an ATC climb instruction for high terrain.

Narrative: While en route to ZZZ we received a NOTAM indicating the runway edge lights were INOP for XX/XY. I discussed my plan with the First Officer to shoot the approach to Runway XX and see how it looks; thinking there were still runway end identifier lights. I briefed the approach emphasizing terrain being the biggest threat. If it didn't look safe we'd execute a go-around and divert to our alternate (ZZZ1). On arrival; ZZZ TRACON informed us a prior aircraft had reported the lights out and if we went missed to fly the published missed and ZZZ1 would be the alternate. During the approach; we were notified by someone on CTAF that all the runway lights were out including the runway end identifier lights. We broke out of the bases prior to the 1;000 feet call and continued to the 500 feet call when I called for a go-around. The go-around started out well following SOP's. I requested the A/P on right away and we contacted ZZZ TRACON while climbing. This is when things started going haywire. ZZZ TRACON gave us a climb to 4;300 feet and a right turn to VOR. The airplane was rapidly approaching 4;300 feet and I focused my attention on altitude; selected V/S to slow the descent. We ended up passing 4;300 feet by about 300 feet and I V/S back down to 4;300 feet. The First Officer reported that we had passed 4;300 feet and ZZZ TRACON responded climb to 6;000 feet. I didn't hear the climb to 6000 feet instructions. After a short time I notice we weren't turning to VOR and engaged HDG SEL and entered a right turn towards VOR. A few seconds after initiating the turn; ZZZ TRACON called a terrain warning climb 6;000 feet turn right direct PDZ; we were already in the turn and I FLCH'ed a climb to 6;000 feet. Once we were headed towards PDZ and at 6;000 feet there was a little confusion to which runway ZZZ1 was using. ATIS was calling for 26's but ZZZ TRACON said they were landing the 8's. We were able to load the approach and land without further incident. The First Officer and I talked about the event later and neither of us remembers seeing any EPGWS warnings or cautions from the aircraft. I was pretty task saturated for a short time; so there could have been. We also discussed why the aircraft wasn't tracking correctly with LNAV engaged and couldn't figure it out. Had we not sequenced the box correctly? I talked with Dispatch after landing and he saw that we received the NOTAM for the HIRL but not the REIL's being U/S. He told us that we were scheduled to give it another try in 45 minutes; but I called at that point. I felt; fatigue; contributed to this event and filled a fatigue reported for this event. I would have done a few things differently. 1. Not even attempt the approach; coordinate with dispatch much sooner about diverting to our alternate. 2. Keep a better scan. I was overly focused at maintaining altitude and not aircraft track.

Data retrieved from NASA's ASRS site and automatically converted to unabbreviated mixed upper/lowercase text. This report is for informational purposes with no guarantee of accuracy. See NASA's ASRS site for official report.