The most common and most likely answer to this crossword clue is the 5 plus 5 letter word FANCY THAT!
I've seen this crossword clue in The Guardian
F
A
N
C
Y
T
H
A
T
!
Buddy explains!
The straight part
We know that "My goodness!" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case my goodness! = fancy that!.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.