Go West Meaning

(idiomatic) to die; to become destroyed

Example: 1918, Banjo Paterson, Moving On,
  In the hospitals they're moving, / Moving on; / They're here today, tomorrow they are gone; / When the bravest and the best / Of the boys you know "go west", / Then you're choking down your tears and / Moving on.
1918, Siegfried Sassoon, How to Die
  You'd think, to hear some people talk,
  That lads go West with sobs and curses,
  And sullen faces white as chalk,
  Hankering for wreaths and tombs and hearses.