When $g$ is real-analytic, (local) analyticity of harmonic functions is just a special case of Cauchy–Kovalevskaya theorem.
Edit: You are right, CKT does not suffice. In case if you still care, here are references that do the job:
In your setting, the Laplacian is uniformly (or strongly) elliptic. Now, apply
C. Morrey, On the analyticity of the solutions of analytic non-linear elliptic systems of partial differential equations. I. Analyticity in the interior. Amer. J. Math. 80 (1958), 198–218.
(for the interior, a textbook reference is Hormander's book on Linear PDEs, Theorem 7.5.1)
and then at the boundary:
C. Morrey, On the analyticity of the solutions of analytic non-linear elliptic systems of partial differential equations. II. Analyticity at the boundary. Amer. J. Math. 80 (1958), 219–237.
I am not sure if the boundary analyticity has a textbook treatment. The standard references that I have (Hormander, Gilbarg-Trudinger, Evans, Taylor) don't do it.