k let me break it down:
the chorus is talking about how him and B-Luv were dancin at a club/party/whever and someone shot somebody. they didnt see or they are saying they didnt see cuz they were on the floor just giggin.
They sayin "We Go Yankee" and if you ever seen Hus and Luv dance, they gig in this crazy ass way that basically is goin dumb and then mixing in shit like "the running man" and that one with the eyes haha, just goin dumb but using dumb ass dance moves. So Goin Yankee is just how they gig.