Word usage 'when you go'

I'm not sure what you're trying to express, so I won't stand against your sentence, but the only possible meaning I can come up with right now would be expressed by:

Could you please inform me when you leave?

If that doesn't fit where you need it to, please, provide more info on the context.

EDIT: To make sure I'm not mistaken, I googled both phrases and now I'm even more confident.

When you go is always followed by a certain place or action, like:

When you go online.
When you go to Brazil.

While when you leave simply stands by itself:

If you decide not to go on with this course, please come and inform me when you leave.

Of course, optionally you can add some place after leave, like:

Give me a call when you leave the office, so that I can prepare the food in time.

But this isn't necessary for the word to work.

Your sentence is grammatically correct. In speaking, it would be more common to hear:

Could you please let me know when you go?

Because we don't use the word "inform" all that often when we talk.

But in writing, I agree with @RiMMER that "leave" would be a better way to express the concept you're trying to get across. Likewise "would" instead of "could", because you're not really asking whether they can let you know. And "please" is not too often used in writing either:

Would you let me know when you leave?