This is local idomatic speech. I know that's important to understand but it's not correct spanish.

It's from the verb llegar (to arrive - to show up). And the proper use of the gerand would be "llegando" - not "yendo" - that's just really stupid spanish.

The correct two way to say this are -

"Yo voy a la playa" - I'm going to the beach or -

"Estoy llegando a la playa." - I'm arriving at the beach

Just so you know the real difference in what it means.

Rich