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 :/
No, that isn't right: while πω is in fact a form of λέω, that verb means "say". It is πάω, not πω, that means "go".
I've also seen people use «Εγώ πω». Is that correct?
Πάω is πηγαίνω, as you can see in the comments in this very discussion, πω is a tense of λέω.
I mixed something up. Thanks for clarifying!