I think I got this solved, its not perfect but it works.
As was posted before it requires a TWO step key combination.
First from within your full screen Citrix session press 'Ctrl + F2' -- This passes the NEXT command to the local workstation. --
Then press your Ubuntu key combination, for me 'Windows Key + E' to switch between workspaces.
Using this combination I started four Citrix sessions and left each one full screen in its own workspace and quickly switched between sessions.
Running Hardy Heron and the v.10 of the Citrix Linux client.