John's answer is right. It's a very obscure reference. Only fans of H. P. Lovecraft would recognize the term "Goat with a Thousand Young." Lovecraft is a very popular horror fiction writer, but still, most English speakers would not know this term. I don't think Lovecraft ever really explains what the "Goat with a Thousand Young" actually is -- it's just mentioned in some of his stories as one of the many different horrifying deities in the universe. I would assume that if someone had "gone to" this evil deity, it would be similar to saying that the person went to hell (especially since Satan is often associated with goats).

I had to look this up. “The [Black] Goat [of the Woods] with a Thousand Young” is another name for Shub-Niggaurath, a deity in the shared fictional universe Cthulhu Mythos, started by the American horror writer H.P. Lovecraft. But I don’t know what the songwriter means by “gone to” this goat/deity.