Will look into the issue.
Try using the Quick Game option, the both of you. Does that work?

We find out a solution.

we launch both the game.
One of us host a game.
The other one press SHIFT+TAB, then click on the join button next to the friend name.

I think there still a bug.
When you try to join from gog galaxy, it launch the game, but it stop at the main menu.

hope that can help other players.

where is the join button ?

We'll look into that but the way we're doing it is this: you both have the game started up, one of you creates a lobby by way of COOP->Host Private. The other one presses shift+tab to bring up the Galaxy overlay and then clicks the "join" button near the friend's name (in the friends list on the right side of the screen).
We'll keep testing the join option with the game closed.