Exactly how the keyboard shortcut works depends on your keyboard layout. For example on my American layout the key between the left Shift and Z has < and >. To get the > I need to hold down Shift. So to use the go-to-label shortcut, I hold down Ctrl and Shift, then hit the mentioned key.
Note that the cursor has to be placed on the left side of cross-reference for this to work. As scottkosty says, this is so that it's clear which label to go to, if there are two cross-references side by side.
It is not currently possible to configure a mouse click, e.g. Ctrl + click, to achieve this it seems. You could make a feature request to the developers by creating a new ticket at https://www.lyx.org/trac