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In Reginald on Besetting Sins: The Woman Who Told The Truth, Saki writes

And at last the dreadful thing came, as the Woman had foreseen all along that it must; it was one of those paltry little truths with which she harried her waking hours. On a raw Wednesday morning, in a few ill-chosen words, she told the cook that she drank. She remembered the scene afterwards as vividly as though it had been painted in her mind by Abbey. The cook was a good cook, as cooks go; and as cooks go she went.

I understand that the antepenultimate sentence ("The cook was ...") is an example of paraprosdokian sentence, in that the first usage of "go" was idiomatic and the last usage, that referring to physical translocation, made the second half of the sentence unexpected, however I don't understand exactly where the woman went when the cooks left. Why exactly would she go, when the cook left?

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The "she" who went is the cook, who was also a woman.

I think this is your misunderstanding. It's the cook herself who went, not the Woman (the main character of the story, referred to with the capital W). With that it makes more sense. Just to break it down since it's a fun paraprosdokian (and thank you for teaching me that word today!):

The cook was a good cook, as cooks go;

Here "as cooks go" is used in the idiomatic sense meaning, roughly, "among cooks".

and as cooks go she went.

Here, as you said, "go" is directly referring to physical translation (the cook quit her job and went), while "as" is either in the sense of "because" or in the sense of "in the way that". This part of the sentence is saying, ironically, either that "cooks go, therefore this cook went", or that "the cook quit in the way that cooks do". Either of these would be a slightly odd choice of phrasing normally, but in juxtaposition with the other meaning of "as cooks go" from the previous phrase, it makes for a good piece of wordplay.

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    You didn't get the joke, which employs two meanings of 'go' - first, she was a good cook 'as cooks go' (she was good compared to the average cook) and second - as cooks go, she went (quit her job). In the age of domestic servants, cooks were the hardest to keep. – Michael Harvey Aug 22 at 18:41
  • @MichaelHarvey Which part of the joke didn't I get? I've mentioned in this answer (and indeed the OP already mentioned in the question) the two meanings of "go" here: firstly the idiomatic one and secondly the literal one of going/leaving. – Rand al'Thor Aug 23 at 7:46
  • I didn't think you explained it very clearly. – Michael Harvey Aug 23 at 7:48
  • I've edited; any better? – Rand al'Thor Aug 23 at 7:50
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    Yes. I have withdrawn my downvote. I think the second instance of "as cooks go" refers to the fact that a good cook was hard to keep, and had to be kept happy by her employers in a way that did not apply to some other domestic servants. If they became unhappy or dissatisfied they just, well, went. – Michael Harvey Aug 23 at 9:48

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