However, I only intend for the URL shortener to operate under go.mydomain.com as I set up redirects for any requests that come to mydomain.com to go to myOtherDomain.com and any requests that come to mydomain.com/abc to go to myOtherDomain.com/abc. However, all requests seem to be going to short.io. What am I doing wrong?
Based on the information you provided, one can only say that mydomain.com does not use Cloudflare nameservers, so none of the settings you referred to will take effect
Apart from that, what you posted are regular DNS entries and should resolve as such, should the nameserver in question be the authoritative one.
Whether that particular short.io setup will work depends on whether their server is configured for mydomain.com, which I rather doubt, but there is no way of verifying that of course.
As to pointing the naked domain to Cloudflare’s DNS resolver, that wouldn’t make much sense either and you should probably drop that entry altogether if you are not using it. If you want a dummy record for page rules and alike, you better use the address used in the redirection tutorials at Tutorial.
In short, I am afraid your setup will probably make little sense