It's a phrase from the popular American board game, Monopoly.
In this game, you move around and around the board. The first spot is labeled "Go". If you land on Go, or pass over it, you earn $200.
However, if you draw a Jail card, you go to the Jail. Even if you would pass the Go spot, you do not get to collect $200.
In fact the card actually says "Go to directly to Jail. Do not pass Go. Do not collect $200."