Status Update:
While investigating this bug, I filed PulseAudio bug 75418. https://bugs.freedesktop.org/show_bug.cgi?id=75418 It might be related or involve a similar fix, but it is not the cause of this bug because the Windows X2Go Client does not set XDG_CONFIG_HOME for the pulseaudio.exe process.
PulseAudio bug 75006 is also worth noting: https://bugs.freedesktop.org/show_bug.cgi?id=75006 Currently, the Windows X2Go Client does not set PULSE_COOKIE. It instead sets overrides USERPROFILE and expects the cookie to be created relative to it.