What should be done if an aircraft is scheduled for an unplanned missed approach?

In the case of an unplanned missed approach, the appropriate action is to advise ZAE immediately. This step is essential because it keeps air traffic control informed about the aircraft's intentions and status, allowing them to manage air traffic effectively and ensure safety. Notifying ZAE can help in coordinating any necessary adjustments to the flight's routing, providing updated instructions, and keeping other aircraft in the vicinity informed to maintain safe separation.

The other choices, while they may seem relevant, do not prioritize the immediate communication needed with ZAE, which is critical in such situations. Requesting a new clearance or informing ground control may be part of the follow-up actions, but the priority should always be to communicate the missed approach directly to ZAE first to facilitate a controlled and safe airspace environment.