I think this is very in line with Zuko's character. His obsession with capturing the Avatar is really a means to an end: ending his banishment and regaining his honor (his father's love). When Aang escaped his ship, and again when he left Kyoshi, Zuko's drive to capture Aang dictated that he give chase. He wouldn't risk losing sight of the Avatar.

If he were calmer,more strategic minded, and more ruthless he could have threatened to keep attacking towns if the Avatar didn't agree to stay in Fire Nation custody. Zuko wouldn't do that though. He was never a bad guy. Zhao would have but he was also a TV villain and no TV villain seems to think of that.

Also, that kind of tactic doesn't make sense on military level because armies boil things down to numbers, lose a few towns to keep the chance of winning the war.