I think you are trying to translate - we are going - word for word.
You need to know the different tenses in English and French.
I go and I am going are both the same Present tense in French ie. je vais ( There is no equivalent of the present continuous tense 'I am going' in French.
So, we are going in English is nous allons in French - just the present tense of aller - to go.
Je vais aller ( that you suggest ) = I am going to go. in the nous form, nous allons aller = we are going to go.
Have you got a reference book with verb tables and their English translations ? We used to reckon that learning the irregular verbs in French was absolutely crucial. You need to know off by heart the 3 regular French verb types ie donner = to give ( the verbs ending in er,) finir =to finish ( verbs ending in ir ) vendre = to sell ( verbs ending in re.
Unfortunately nearly all the verbs you need to use most often don't follow the pattern any of these 3 ; they are irregular and do their own thing. Historically they are the remains of several different verbs with similar meanings, bits of which have been lost over the years and bits of which have survived eg the one which caused you a problem,
Aller=to go ( the infinitive)
je vais = I am going, I go
tu vas =you are going, you go
Il/elle va = he/she is going, he/she goes
Nous allons= we are going, we go
vous allez=you are going , you go ( more than one person or the polite form"
ils/ elles vont = they (Masculine or feminine) are going, they go ( if a mixture of masculine and feminine you use the masculine one)
You can see that there are at least 2 different verbs originally here - one beginning with v and one beginning with a.
Which tenses are you supposed to know? There is just no alternative but to repeat the French and the English meaning, 30 times so that you'll know it - so je vais = I go, I am going, tu vas = you go, you are going etc. for all the verbs you need to know - fascinating isn't it?