Going along with Karen's thought, you might have used the wrong kind of cheesecloth. Most supermarket cheesecloth is not suitable for making cheese. It is just too loosely knit and really wouldn't hold up to regular cheesemaking. I have come across only one chain store that has acceptable cheesecloth - Bed Bath and Beyond. Its only about $5 and I don't have to pay for or wait for shipping from an online source.
As for the whey, it should be fairly clear. I haven't used goat milk before, but I assume its nearly the same as cows for this instance. You should be able to see pretty clearly through it to the curd that is forming and settling to the bottom of the pot. If its milky, then I would think that its still got milk in it, meaning that the milk solids have not separated from the whey. You might try a bit more acid (lemon) or waiting longer before straining. If you strain out milky whey, your yield is literally going down the drain!
BTW welcome to the forum! You really have come to the right place for answers and encouragement