go skiing
Can I say skiing as a noun to refer to that sport?
Can I say for example, you should learn with a coach when you are skiing?

Question

go skiing
Can I say skiing as a noun to refer to that sport?
Can I say for example,  you should learn with a coach when you are skiing?

Answer

This is an example of a gerund, i.e. a verb being used as a noun.
If you search online for 'gerund', you will find lots of good examples and explanations.

Answer

1.  yes
2.  "If you want to learn how to ski, you should learn with a coach."

In your example sentence, 'skiing' is no longer a noun, it is a verb.