The best we can say is that a subsequence of $(f_n)_{n\geqslant 1}$ converges to $f$ almost everywhere. Indeed, for all $k\geqslant 1$, choosing $g$ as the indicator function of $[-k,k]$, one can see that $f_n\to f$ in $\mathbb L^1[-k,k]$. Therefore, for each $k\geqslant 1$ and all $N$, we can find an integer $n_k\geqslant N$ such that $\lVert f_{n_k}-f\rVert_{[-k,k]}\leqslant 4^{-k}$. We can thus find an increasing sequence of integers (that we can constructed inductively) $(n_k)$ such that for all $k\geqslant 1$, $\lVert f_{n_k}-f\rVert_{[-k,k]}\leqslant 4^{-k}$ annd we get that $f_{n_k}\to f$ almost everywhere
since $\sum_{k\geqslant 1} \lvert f_{n_k}-f\rvert$ is integrable on any interval.
But it is possible that $(f_n)$ does not converge almost everywhere to $f$. If $n$ has the form $2^N+k$ for $N\geqslant 1$ and $ 1\leqslant k\leqslant 2^{N}$, let
$f_n$ be the indicator function of $[(k-1)2^{-N},k2^{-N})$. One can see that
$\lim_{n\to\infty} \int_{\mathbb{R}^d}|f_n(x)| g(x)\,dx=0$ holds for all integrable functions by absolute continuity of the integral (we integrate on sets whose measure goes to zero) but the almost everywhere convergence does not hold. Note that here, the subsequence $(f_{2^N+1})_{N\geqslant 1}$ converges to $0$ almost everywhere.