First let me state that for MBB interviews, this kind of behavior is VERY uncommon! I can say that during my time as interviewer for both McKinsey and BCG, we were actively trained to NOT mislead candidates during cases!
So if you are challenged on an approach, chances are that there are indeed points you should consider. In this case I would clarify with the interviewer where the problem lies (i.e., start recapitulating your basic ingoing assumptions and deductively confirming the logical conclusions regarding relevant elements). Going through your approach elements one by one will then force the interviewer to either explicitly discuss "wrong" elements of your approach or to pinpoint missing elements. It is essentially a structured testing for MECEness. The result of this process will be either a refined approach, or the interviewer needs to admit a bluff (as I said, unlikely at MBB).
Cheers, Sidi
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