Lukaku recovered from a muscle problem he picked up in training early this month to feature for United in their Premier League defeat to rivals Manchester City on Sunday, in which he won a penalty.
Although Marouane Fellaini has been left out of the squad despite playing for 90 minutes against Pep Guardiola's team, Lukaku was called up after missing games against Juventus in the Champions League and Bournemouth.
Belgium boss Roberto Martinez admitted when his team was announced that they would remain in touch with United over the forward's fitness before deciding the role he will play over their last two games of 2018.
But the striker, who has not scored for United since the middle of September, will be forced to sit out the game with Iceland at Stade Roi Baudouin in Brussels because of a hamstring injury.
Lukaku has hit four goals in Belgium's inaugural Nations League campaign, Roberto Martinez's side top of League A Group 2, but Michy Batshuayi is expected to slot into his place up front.
Martinez said in his pre-match press conference that Lukaku was set to be rested for the clash with Iceland. However, it is not known whether the 25-year-old will be available to face Switzerland on Sunday, with a place in the Nations League finals up for grabs.
"Romelu will train today with the group," Martinez told reporters. "He's had a very positive reaction so we'll take it day by day, see how he feels and we'll take it [him playing] into consideration."
Belgium only need a point against Switzerland to guarantee their progress in the competition, regardless of their result on Thursday.