Is the phrase "going missed" standard in the US?
According to the Pilot/Controller Glossary (the closest thing to "regulatory" documentation regarding phrases pilots are supposed to use on the radio) there is no GOING MISSED - there is GO AROUND as an ATC instruction (and by analog GOING AROUND as a pilot's response or notification to ATC to inform them the pilot is doing so), which covers both VFR and IFR operations:


  GO AROUND −
  Instructions for a pilot to abandon his/her approach to landing. Additional instructions may follow. Unless otherwise advised by ATC, a VFR aircraft or an aircraft conducting visual approach should overfly the runway while climbing to traffic pattern altitude and enter the traffic pattern via the crosswind leg. A pilot on an IFR flight plan making an instrument approach should execute the published missed approach procedure or proceed as instructed by ATC; e.g., “Go around” (additional instructions if required).


(There is also an IFR-specific EXECUTE MISSED APPROACH in there.)



GOING MISSED is not proper/correct phraseology (though much like "tally one" or "got 'em" in place of "traffic in sight" it will generally be understood by ATC - probably with about the same grinding of teeth as the other two phrases get).  

Informing ATC (tower or approach) that you are executing a missed approach by simply saying N12345, Missed Approach is correct phraseology however:


  MISSED APPROACH−
  a. …
  b. A term used by the pilot to inform ATC that he/she is executing the missed approach.
  c. …


and is probably what should be used in place of "Going Missed".