"Go" is a way of saying "say" when you're quoting. We use it a lot, especially when telling someone about a conversation we had. It's usually used very informally.
Me telling my friend a story:
Me: so the other day I saw Josh at the movies so I go up to him and I go "hey josh!" But then he just stares at me and goes "who are you?" Like, we've been going to school together for years and he doesn't recognize me?! So then I just go "oh nevermind. I thought you were someone else"