The former England star played for both clubs during his career, spending four years at White Hart Lane before moving to the Italian capital in 1992.
Lazio's general manager Maurizio Manzini invited the 45-year-old to watch this week's match as soon as they were drawn together in Group J back in August.
Gascoigne had originally said he was unable to visit Italy because of a function back in England on Friday, but he has now accepted the Italian club's offer.
Gazza will defy his fear of flying to catch a plane to Rome on Thursday before coming back the morning after so he can fulfil his speaking engagement.
Gascoigne's agent Terry Baker said: "Paul will now go to the Lazio game. He is looking forward to seeing the fans because he has a great affection for them."
The former Newcastle and Rangers star has struggled to deal with alcohol problems since retirement but his agent said this summer that he had embarked on a health drive.