Whether "go" should become "come" in direct speech depends entirely on the speaker’s position and the context of the sentence.

Indirect speech:

Agnes said that she would go and heat some milk.

Now to convert this to direct speech, ask:

• Is Agnes going away from the listener/speaker to heat the milk?

• Or is she coming toward the speaker/listener?

Since the original sentence says “go,” it implies movement away from the current location, not toward it.
So when converting it back to direct speech, we preserve that meaning:
  “I’ll go and heat some milk,” said Agnes.

Some important Tip

• Use “go” → when moving away from the speaker/listener.

• Use “come” → when moving toward the speaker/listener.