There are really only 5 reasons you might be building pressure in your car:
1) Blocked coolant return line: the leader that comes off the top of the radiator (or in your case, it should be spliced into the upper hose) can get clogged. On some MK II cars, there is a restrictor in the return hose to the expansion tank. I've seen them get completely plugged.
To test to see if it's clear, take the cap off the expansion tank, start the car, and make sure coolant is running through the hose and into the tank while running. If not, then pull the hose and try to blow through it. If it's clogged, then use a drill bit to drill out the restrictor. Or, if there is no restrictor, then snake out the hose, or replace it.
2) Bad radiator cap. This is not a common problem, but it can happen and will allow pressure to remain in the system. In fact, I think a bad radiator cap blew the head gasket on my old 4-runner.
3) Clogged radiator. It's hard to visually check this, but if your coolant is grimy and you've never cleaned it, then it may cause it. Usually however, a clogged radiator will cause overheat and then boilover: not just boil over
4) Head gasket. I feared the worst, but prayed for the best on a 1998 TDI I bought. It wouldn't overheat, temps were always low, but it would force out coolant at high RPMs. It would idle all day and not lose a drop, but under load, it would blow coolant everywhere, and the coolant was clean. So, you could have blown your HG (you say your gauge never worked?) and not known about it. Also, oil in the coolant is not the only way to tell if you've blown it. Like me, you may be losing pressure into the coolant system under boost. Easiest thing to do is a compression test to see what comes up.
5) Thermostat. They usually don't go bad. You can tell if it's bad by leaving the cap off the radiator and running the car up to operating temps (i.e. the fan kicks on). Put your hand on the lower rad hose. If it's still cold after about 30-40 min of idle, and/or the rad fan never comes on, then your thermostat might be stuck.
If it were mine, I'd start on the coolant hose. If it checks out, then do a compression test. If that checks out, the do the rest (check return hose, flush, new fan switch, new rad cap and new thermostat w/coolant).