Yes, they may be forcing URLs to their URL location, I’m not sure. I was previously experiencing the same error with uploading files to my root domain via ftp where the file URL was still showing the sever URL (Not the actual website URL).
Though, this cannot be an issue from Godaddy as I was previously able to submit site URLs to Search Console using Yoast plugin. Yoast didn’t generate any server URL for sitemaps. This may be a feature lack of this plugin.
The reason I switched to this plugin is that it was offering Google News sitemap for free where Yoast offers a News sitemap extension for $49.
Hope you add up this functionality of displaying the actual URLs in sitemaps for the managed hosting sites.