I'm also not aware of any BD players with HBO Go, but a word of warning that HBO Go availability depends not only on your cable provider, but whether their agreement with HBO permits the specific device you wish to use.
I have Comcast and subscribe to HBO and can therefore use HBO Go on my iPhone. I later purchased a Roku, thinking I would be gaining HBO Go along with other channels of interest to me. Much to my dismay, Comcast is not a supported provider on the Roku version of HBO Go. I suspect that Comcast feels somehow threatened by 'big screen' HBO Go implementations. We might see similar issues once Blu-ray players start offering the service.