It comes from the video game title.
I looked up in online dictionary thinking that it should be a conjugated form of the verb 去る but it is not.
It is a verb conjugation from classical Japanese and it still remains in some expressions.
Past tense in classical Japanese was formed by taking the 連用形 (the verb stem) and adding a helping verb. This suffix し indicates the 連体形 (attributive, it modifies 時).
去りし ＝ 去った
The particular helping verb is き in this case and is used for past tense that you experienced yourself or know by certainty.
For other types of past tense, e.g. something you've been told, the helping verb けり is used.
Here you can find more details, although in Japanese: https://kobun-benkyou.jimdo.com/%E5%8A%A9%E5%8B%95%E8%A9%9E/%E3%81%8D-%E3%81%91%E3%82%8A/