Pre-15th century, 'going to' simply meant 'walking to', 'travelling to' somewhere, as in:
"Are you going to Scarborough Fair?"
This is present continuous tense, with the action starting when I left home, and ending when I arrive at the Fair.
Let's extend the sentence:
"I am going to Scarborough Fair to buy a cow."
This, back then, still simply meant, 'I am travelling to Scarborough Fair and when there, I will buy a cow." - I am travelling somewhere in order to do something.
Take this piece of conversation:
She: Are you going to Scarborough Fair?
He: Yes. I am going to buy a cow.
In this way, the meaning of 'going to' shifted from just meaning 'travelling somewhere in order to do something', to also being a marker signalling a future event: it took on the meaning 'I intend to'.
So - in your sentences:
a. I'm going to Paris this weekend.
b. I'm going to go to Paris this weekend.
...the second sentence has the added emphasis of 'intend to do something/intent on doing something'. It may be that he has thought long and hard about whether he can get away, the cost, getting back in time for work on Monday etc, and finally makes up his mind: "Yes, damn it, I will go. I'm going to go to Paris this weekend."
The first sentence is more 'objective', a statement that 'I am flying to Paris this weekend.'