How to execute multiple SQL commands at a time from ASP.NET C#

"GO" is a SQL-Server-Management-Studio specific command and not part of T-SQL.

If you would want to use SQL-scripts with "GO"-commands please refer to this:
c# - Execute a large SQL script (with GO commands) - Stack Overflow[^]

Otherwise you would have to execute these statements separately (and I suggest using using-statements for Sql****-objects):

using (var connection = new SqlConnection("your connection string here"))
{
    connection.Open();

    using (var command = connection.CreateCommand())
    {
        command.CommandText = "CREATE DATABASE dbTest;";
        command.ExecuteNonQuery();

        command.CommandText = "USE dbTest;";
        command.ExecuteNonQuery();
    }
}

The connection string should best not be hardcoded at the indicated position but be read from a configuration file.

Note that the "USE"-command will affect only the following commands on the same connection, so in this example it's pretty useless.