Yes. It means I'm going to Je vais aller à/au/en + infinitive verb or noun. Je vais manger dehors. (i'm going to eat outside) Je vais aller au supermarché (I'm going to the supermarket) Je vais aller à Paris (I'm going to Paris)
The answers are all correct as given, but perhaps your question was really:
Can I say the equivalent of "I'm going to go" without indicating a destination. The answer to that is: no.
In French you must specify a destination explicitly or at least give a "hat tip" to a destination mentioned earlier. Such a "hat tip" is what the "y" in "Je vais y aller." is for. That basically means "I'm going to go (to the place we have discussed)."
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