Richardus is right.
It is a matter of combination of two verbs(adjectives). 따르다 + 오다 -> 따라오다
Some examples; 오르다+가다 = 올라가다 climb up / go up 뛰다+가다 -> 뛰어가다 run and go away
And "가" in the sentence of "저를 따라가 오세요" is incorrect, of course. If you mean "가" is subjective particle, you should not use like this. If your가 is from "따라가다(or 따르다+가다) = follow", then use 따라오다 in stead of 따라가다.
* 따라가다 go after / 따라오다 follow behind