The correct thing to do very much depends on the clearance that you were given.
If you were simply cleared direct to BEJCY and cleared for the approach, then your instructor is correct and you should have completed the procedure turn as charted.
If the clearance included the words straight in (i.e. "cleared for the straight in GPS 01 approach"), then you could not perform the procedure turn even if you wanted to, without getting permission first.
If you are receiving radar vectors to final (i.e. "Fly heading xxx, cleared for the GPS 01 approach") or if you are doing a timed approach from a holding fix then you may not perform the procedure turn either.
There are also charts which have notes saying "NOPT for arrivals between radials xxx and xxx." or similar, which would also preclude you from performing the procedure turn under the appropriate conditions.
By default, the procedure turn is required if depicted unless there is a specific reason not to.
The AIM says:
5 − 4 − 9. Procedure Turn and Hold − in − lieu of Procedure Turn
procedure turn is the maneuver prescribed when it is necessary to
reverse direction to establish the aircraft inbound on an intermediate
or final approach course. The procedure turn or hold−in−lieu−of−PT is
a required maneuver when it is depicted on the approach chart, unless
cleared by ATC for a straight−in approach. Additionally, the procedure
turn or hold−in−lieu−of−PT is not permitted when the symbol “No PT” is
depicted on the initial segment being used, when a RADAR VECTOR to the
final approach course is provided, or when conducting a timed approach
from a holding fix. The altitude prescribed for the procedure turn is
a minimum altitude until the aircraft is established on the inbound
course. The maneuver must be completed within the distance specified
in the profile view. For a hold−in−lieu−of−PT, the holding pattern
direction must be flown as depicted and the specified leg
length/timing must not be exceeded.
The pilot may elect to use
the procedure turn or hold −in−lieu−of−PT when it is not required by
the procedure, but must first receive an amended clearance from ATC.
If the pilot is uncertain whether the ATC clearance intends for a
procedure turn to be conducted or to allow for a straight −in
approach, the pilot must immediately request clarification from ATC
(14 CFR Section 91.123).