I'd use the cte approach. I'm confident it can be compressed a little further but this would be my starting point:

WITH cte_originalquery AS

(

SELECT 1 AS Number UNION ALL

SELECT 2 AS Number UNION ALL

SELECT 3 AS Number

),

cte_originalqueryExpanded AS -- add two columns to be used for output order

(

SELECT

1 AS Sort,

Number AS Sort2,

Number

FROM cte_originalquery

),

cte_helperquery AS-- add the required number of "go" lines using separate cte

(

SELECT

2 AS Sort,

Number AS Sort2,

'GO' AS AddLine

FROM cte_originalquery

),

cte_merged AS-- merge the two queries

(

SELECT

Sort,

Sort2,

AddLine

FROM cte_helperquery

UNION ALL

SELECT

Sort,

Sort2,

CAST(Number AS VARCHAR(10))

FROM cte_originalqueryExpanded

)

-- final output, ordered properly

SELECT AddLine as final

FROM cte_merged

ORDER BY Sort2,Sort