It's a reference to this board game: Monopoly (game) - Wikipedia, the free encyclopedia
In the Wikipedia picture, "Go" is the square at the bottom right-hand corner, but as it is a German board that square is not marked "Go". Players in the game start with a certain amount of money, proceed round the board using dice, and collect $200 (in the original - US - version). Some cards issued by chance on the way round have instructions such as "Go to Jail. Move directly to Jail. Do not pass Go. Do not collect $200". Receiving such a card is a penalty; if you are just approaching "Go", and looking forward to your 'salary', you are penalized twice: you go to jail AND you don't get the money you were expecting. And as Jail is one straight clockwise from Go [in the bottom left-hand corner in the picture], you have a long time to wait for the next automatic payment.
Idiomatically, the expression is used to imply a general penalty, or sometimes it refers to a regular/automatic payment that you are not going to get; and there's also the implication that the penalty is random.
Traditionally, during this holiday season, when relatives spend a lot of time together and may not know how to fill the time, they play Monopoly - so your question is quite seasonally apt!
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