+1 to shelter. The clown goby likes places to hide. Mine is always peeking out of a leather. Second, how old is your clownfish? How big is the tank? If you are calling your clown a female, I guess it is an adult and probably large?
My experience: I put a juvenile gold stripe clown and a clown goby together in a 5g pico and they get along great. At first the clown tried to rub up against the goby which really freaked the little guy out, but now they mostly ignore eachother. If the clown is feeling frisky and does go rub up, the goby is mostly used to it by now.
HOWEVER! Adult clowns tend to be territorial and a bit of jerks. When I put in a juvenile clownfish with my adult female occelaris, the juvenile ran right up to her to cuddle and got his a** handed to him. After a few days, though, they got along great and now are mated.
Of course this is COMPLETELY different than when I tried to put a clown goby in with my yellow-tail damsel. The damsel was CONSTANTLY biting / harassing the goby and would have probably killed it. That's what got that little #&*$ kicked out of my pico for good and replaced with the clownfish I mentioned above.
Conclusions: Clownfish / clown goby pairs usually get along fine. But it is typical for a female clown to be a jerk to a new arrival. I'd say keep an eye on the situation and if no damage / serious harm is being done, see if it doesn't settle out within a few days. Maybe she just needs to establish dominance before ignoring him. After a while you tend to get to know the difference between play / nipping / darting that is normal in a community tank and the type of harassment that gets someone killed.