I checked website "cooljugator -greek" but could not find the verb "go". So, can you use either "πηγαίνω" or "πάω"?

Πηγαινω is the formal, sometimes in informal speech. Πω is a form of another verb λέω, subjuctive past. So there is no relation between them. Both irregular verbs, you have to learn their conjugation by heart :/

I've also seen people use «Εγώ πω». Is that correct?