You'll be able to change to GOG later, as stated in a big, red message box at the top of the kickstarter page in the Larian Vault.
I quote: "If you have alpha or beta on Steam but you want the final release on GOG, please come back later to change your Steam key into a GOG key."
Also, a bit lower, next to the "Divinity: Original Sin digital" option, it reads: "If you have requested an Alpha key before on Steam, please bear with us as you will be able to change this to GOG very soon. If you do change this to GOG, the Steam key will stop working."
So don't worry, have a bit of patience and you'll get your GOG key

*edit* I was too slow in posting this
