You have to make
$GOPATH/src/my_repo/my_db exist. The value of $GOPATH is not really important as far as Go is concerned.
$GOPATH/src/my_repo/my_db may be a symlink. We create that symlink as part of the test script in our CI system.
I'm not very familiar with Jenkins, but I'm going to assume that $WORKSPACE is where the code is checked out (e.g. $WORKSPACE/.git exists). In that case, see if you can execute the following script before running any go command:
mkdir -p $GOPATH/src/my_repo ln -s $WORKSPACE $GOPATH/src/my_repo/my_db
Again, the important thing is that
$GOPATH/src/my_repo/my_db exists. How you make this happen is up to you.