"Je suis allé à..." (or "Je suis allée à..." if a girl is speaking) is how you say "I WENT to..." (past tense).
"Je vais aller à..." is how you say "I'm GOING TO GO to..." or "I WILL go to..." (future tense). This is true for both females and males.
"Je vais" (in this case) means "I will."
"Je vais alle" is never correct. I'll tell you why: because you conjugate only ONE verb in a sentence in French, or, in this case, conjugate it only once. In effect, what "Je vais allé" means is "I go to go" which makes no sense.
Since you conjugate only one verb per sentence, you do not conjugate aller twice. Vais is the "je" form of aller. Since you have conjugated that already, there is no need to conjugate aller again--leave it in the infinitive.
Leave it as "Je vais aller à..." to say "I'm going to go to..." or "I will go to..."
or as
"Je suis allé(e) à" to say "I went to..."
Hope I helped! :D