Did you have GPS to use in place of the VOR? A week or so ago I was doing a GPS approach when it blipped on me so I reached up and changed my nav source to the ILS which I had tuned in and carried on in. (Chose GPS over ILS to avoid the procedure turn. I doubt there really is a reference for this sort of thing. It's the very reason you have the MSA altitude there on the chart. When all else fails you have to be a pilot. Fly toward the airport and climb to MSA. Also just because you are not in radar contact doesn't mean you can't communicate necessarily. Missed approach is the correct course of action but you will have to make it up on your own.

Sorry, read that again. Even more so, just because you are in uncontrolled airspace (not out of radar contact necessarily) doesn't mean ATC can't still help you. You gotta use whatever tools you have available but my answer is still the same. Climb to MSA and hook up another navaid or source.