Oculus rolled out a firmware update to the Go with support for FAT32 formatted USB OTG drives in the last few days.
On my Go with the update, it's able to detect the drive, but it's not available in the Oculus Gallery or on SkyBox.
I know OTG drives worked on my GearVR with SkyBox, not clear if it should be working on the Go after the update or if Oculus needs to provide additional support.