@BrianM.Scott There was a problem with my construction. Now I'd like to answer this simpler question: Is there a $G_\delta$ in $[0,1]^2$ that is dense in every horizontal line but contains no vertical line?
@ForeverMozart Maybe I am missing something, but can't you get such set simply by omitting the diagonal from the square? I.e., $[0,1]^2\setminus\Delta$.
I have omitted exactly one point from each horizontal line, so the intersection with the horizontal line is dense in the horizonal section.
I have omitted one point from each vertical line, therefore no vertical line is contained in the set.