Greece sources told the BBC that the Greek FA asked about a possible postponement of Thursday evening’s game but were told by Uefa that there was no room in the busy calendar.
BBC Sport has approached Uefa for comment.
In a joint statement, the Greece players said: “It is impossible to believe that our dear friend and team-mate, George, is no longer with us. Our pain is indescribable.
“Tonight, we will try to reach the strength of his soul, which is a bright example for us all. Our thoughts are with his family. We will never forget you friend.”
Greece sources said the team found out about their team-mate’s death when returning from training at Wembley on Wednesday night and had “barely slept”.
Many of the players were good friends with Baldock, including Greece captain Anastasios Bakasetas, who also plays for Panathinaikos.
Baldock’s body was found at 22:30 local time (20:30 BST) on Wednesday.
A police spokesperson said there was no evidence of criminal activity.
Toxicology test results are expected in the coming days while police will also examine CCTV footage.
Baldock started his career at MK Dons in 2009 and played more than 100 times for them.
He had loan spells with several clubs including Northampton and Oxford United, before joining Sheffield United in 2017.
He made 219 appearances in all competitions for the club, helping them to promotion to the Premier League in 2019 and again in 2023.
Baldock was born in Buckingham but qualified for Greece through his maternal grandmother and was called up for the first time by manager Gus Poyet in May 2022.
He made his debut for the country the following month in a 1-0 win over Northern Ireland at Windsor Park in Belfast.
