The creators/makers cleared up every loose end except for those. They even gave Kim's parents names, though they just used the two popular fandom names.
They never gave them first names.
"Go" is quite obviously their surnames.
On that note, do you think they would give them names that have the same first letter as their nicknames? They're names refer to an attribute about them, but still..
I've always thought Shego's name was "Sheilah", and Mego was "Mitch".
Is it possible to ask the makers for their names, if they've thought of them?