I just wonder is there a chance to use proprietary windows dlls in my go project, compiling for mac osx and linux?
No, you can't use windows dlls on Linux / OSX.
However if you really really have to do that, you could always ship your software with a pre-compiled wine like TeamViewer does and few "almost-native" games on Steam.
I have not used Go! to much, but assuming these are the same kinds you would use in c++, then no, you cannot do this natively. You would need to use something such as wine (I am not sure if that builds on mac osx though)