The Newcastle-born midfielder scored 33 goals in 112 games for Spurs before moving to the Serie A club in 1992 and acquiring cult hero status in his 47 appearances for the Rome outfit.
Lazio general manager Maurizio Manzini invited Gascoigne to attend the game in Italy after the sides were drawn were drawn together in Group J.
|14/1||Lazio and Tottenham are 14/1 with Bet365 to draw 2-2 on Thursday|
Gascoigne's agent, Terry Baker, told reporters: "Paul will now go to the Lazio game. He is looking forward to seeing the fans because he has a great affection for them."