Yes, they can mean the same thing. But "as we go along" may also indicate that we are not moving in a physical sense. It may be that the person speaking is explaining something or teaching. So, as he is explaining, he can tell the person with whom he is speaking, the answer to that person's question "as he goes along" with the explanation. Often, a person asks a question that is answered by the explanation and is more clear this way. So in this sense it would not mean "on the way" in the physical sense.

They mean the same thing. However I'll tell you on the way is less formal. It's much more natural.