Thank you Mike and Steve B.
Steve B. yes Ctrl - Alt - F works in my case and then Alt tab only switches the programs on the server side. This is what i wanted.
However, Ctrl - Alt - F in my case covers both of my screens (laptop and external monitor) and become a xinerama view even though this option is not selected in my session preferences in the x2goclient.
Furthermore, coming back from full screen makes X2Go session window non-usable; there is a group of windows that are frozen. So, my only approach after coming back from full screen is to suspend the session and then try to reconnect.