The aircraft was on a flight to reposition it for an air taxi operation. The pilot-in-command (PIC) was in the right seat while the second-in-command (SIC) was flying in the left seat. During arrival to the Saratoga County Airport, the aircrew were cleared for the VOR-A approach. According to the PIC, when they arrived at the GILLA intersection and started to proceed outbound, thunderstorm activity was observed on the procedure turn (south) side of the radial. Therefore, they elected to make a course reversal on the north side. Due to moderate to heavy turbulence, the PIC was distracted and was not sure if he set in the correct inbound heading. After intercepting what they thought was the proper inbound radial, a descent was started. Just after breaking out of the clouds at 1800 to 1900ft, the aircraft collided with trees. A missed approach was made and the aircrew diverted to another airport where the nose gear collapsed during landing. After the accident, they were not sure whether the DME was on Albany or Cambridge.