If there's no option to feed thin a certificate path, then you'll want to create a single-file bundle which includes your certificate and the full path up to the root.
However, I wouldn't advise doing it with the bundle downloaded from GoDaddy - that bundle has an invalid certificate signing path - GoDaddy messed it up (see my answer discussing this here).
As in the answer that I linked above with this certificate bundle (that they still haven't fixed!), you'll want to basically build your own certificate bundle. Load up the web site in a browser that figures out the trust path up to the root, and you'll want to export each individual certificate as x509; your own cert (which you already have), any intermediates in order, all the way up to the root.
Then, construct a text file with the pieces from those exports appended together, in reverse order, like this:
(Your certificate's base64 data here)
(intermediate certificate's base64 data here)
(root certificate's base64 data here)
And one word of warning - do this in a plain text editor; editors like wordpad will replace
–, which will cause OpenSSL to fail to load the certificate.