Here is an outline of a proof I found as this question was recently reposted here on Math StackExchange.
Let $P(x,y)$ be the assertion of the first functional equation and $Q(x,y)$ be the assertion of the second functional equation.
Then $P(0,0)$ implies $f(0)=0$ and $Q(0,0)$ implies $g(0)=0$ or $g(0)=1$. By $Q(0,0)$ we have $$g(0)=f^2(x)+g^2(x)$$ for all $x\in\mathbb R$. So if $g(0)=0$ then we have $f(x)=g(x)=0$ for all $x$ and in particular $g'(0)=0$. Assume now that $g(1)=1$.
By $P(0,-y)$ we get $f(-y)=-f(y)$ for all $y$ and similarly $Q(0,y)$ implies $g(-y)=g(y)$ for all $y$. So $g$ is even and $f$ is odd. In particular, since the right-hand side limit of $f$ exists at $x=0$, we know that $f$ is also differentiable at $0$. In particular, $f$ is continuous at $0$.
Because of $f^2(x)+g^2(x)=1$, there exists a function $\theta:\mathbb R\to[-\pi,\pi[$ such that $$\big(f(x),g(x)\big)=\big(\sin(\theta(x)),\cos(\theta(x))\big)$$ for all $x\in\mathbb R$.
Now I need this
Lemma. We have $g>0$ in some neighborhood of $0$.
Proof. Because of $$1=f^2(x)+g^2(x)$$ and $f(0)=0$ and $f$ being continuous at $0$, we know that $g^2(x)\geq\frac14$ so $|g(x)|\geq\frac12$ in a neighborhood of $0$. Also, we have $$g(x/2)=g(x-x/2)=g(x)g(x/2)+f(x)f(x/2).$$ Now, in a neighborhood of $0$, we have $g(x)\neq0$ so that $$1=g(x)+\frac{f(x)f(x/2)}{g(x/2)}$$ which means that $$g(x)=1-\frac{f(x)f(x/2)}{g(x/2)}\geq 1-\frac{|f(x)f(x/2)|}{|g(x/2)|}\geq1-2 |f(x)f(x/2)|.$$ Again by continuity of $f$ at $0$ and $f(0)=0$, it follows that $g(x)>0$ at a neighborhood of $0$. $\square$
By the Lemma, we have $\theta(x)\in\left]-\frac\pi2,\frac\pi2\right[$ in a neighborhood of $0$. All the following statements are for $x$ in a neighborhood of $0$:
We have $\theta=\arcsin\circ f$. So, because $f(0)=0$ and $f$ is differentiable at $0$, we have $\theta(0)=0$ and $\theta$ is also differentiable at $0$. Hence we have by the chain rule $$g'(0)=\left.\frac{\mathrm d}{\mathrm dx}\right|_{x=0} \cos(\theta(x))=-\sin(\theta(0))\cdot\theta'(0)=-\sin(0)\cdot\theta'(0)=0\cdot\theta'(0)=0. $$