Gascoigne, who moved from Spurs to the Italian giants for £5.5m in 1992, has been welcomed to Rome by Lazio general manager Maurizio Manzini for the match later this month.
"I hope we will have the chance to see him in London and for sure we will invite him to the match in Rome," said Manzini.
"I remember the Atlanta ultras, who had a reputation for being really tough, opened an enormous banner with a picture of a huge bottle of beer saying 'This is for you Gazza'.
"There is always a corner of Tottenham in our hearts. He is a mythical figure for Lazio fans and very popular in general in Italy."
The two sides were drawn in Group J alongside Greeks Panathinaikos and Slovenian outfit Maribor.