Look at the key signatures here:
Ab major: Ab Bb C Db Eb F G Ab
Eb major: Eb F G Ab Bb C D Eb
Bb major: Bb C D Eb F G A Bb
F major: F G A Bb C D E F
C major: C D E F G A B C
G major: G A B C D E F# G
D major: D E F# G A B C# D
A major: A B C# D E F# G# D
Note that we do not write A major as A B Db D Fb E## Ab A.
Technically, those notes are enharmonic with — they sound the same as but they are spelled differently than — the notes of the A major scale. However, that awful notation is confusing: F has a lower pitch than E, D and A are used twice, and C and G do not appear at all.
A good key signature means that each note of A B C D E F G is used once and once only in the scale, in that order, of course starting over at A once you go past G.
If you didn’t quite follow before, I hope that covers it, because now we’re moving on:
You ask “if they mean you to play G, why don’t they just say G natural?”
The answer is: well, it looks like a G if you’re staring at a piano keyboard, and it sounds like a G, but it may not be a G. Yeah, that’s the piano key you’re pushing down on, but it ain’t necessarily called G in this particular time and place.
(Yeah, GorillaMan, I’m gonna go there. It’s 4:30am and I’m feeling brave.)
Musical intervals and chords have proper spelling, just like English. Just like “bow” and “bough” sound the same but mean different things, and “ship” and “boat” mean the same thing, but have two different spellings, music has those distinctions too.
I already defined enharmonic: sounds the same, spelled differently. Here are some intervals. Spot the enharmonic ones:
major seventh: C to B
minor seventh: C to Bb
diminished seventh: C to Bbb
major sixth: C to A
minor sixth: C to Ab
augmented fifth: C to G#
perfect fifth: C to G
diminished fifth: C to Gb
augmented fourth: C to F#
perfect fourth: C to F
diminished fourth: C to Fb
major third: C to E
minor third: C to Eb
augmented second: C to D#
major second: C to D
minor second: C to Db
The thing is, you can’t know what an interval is just by looking at the piano keys: you gotta see it in the sheet music. By definition, C to A is a major sixth because it is the inversion of A to C, a minor third. (Major always inverts to minor.) By definition, C to Fb is a diminished fourth because it is the inversion of Fb to C, an augmented fifth. (Diminished always inverts to augmented.)
Sixths always invert to thirds, and vice-versa; fifths invert to fourths, and vice-versa; seconds to sevenths, etc.
You can build chords off of intervals, namely the interval between the first and second note, and the interval between the second and third note:
major chord = major third + minor third
minor chord = minor third + major third
diminished chord = minor third + minor third
augmented chord = major third + major third
Therefore they’d use Abb instead of G because you’d use “bow” instead of “bough.” That’s just how it’s spelt.