You can try StrConv
:
StrConv("αβγδεζηικλμνξοπρστθφω", vbUnicode)
Source : http://www.techonthenet.com/excel/formulas/strconv.php
[EDIT] Another solution:
You can get every greek character (lower and upper case) thanks to this procedure:
Sub x()
Dim i As Long
For i = 913 To 969
With Cells(i - 912, 1)
.Formula = "=dec2hex(" & i & ")"
.Offset(, 1).Value = ChrW$(i)
End With
Next i
End Sub
You can create an array to find the char for instance.
Source: http://www.excelforum.com/excel-programming/636544-adding-greek-letters.html
[EDIT 2] Here is a sub to build the string you wanted:
Sub greekAlpha()
Dim sAlpha As String
Dim lLetter As Long
For lLetter = &H3B1 To &H3C9
sAlpha = sAlpha & ChrW(lLetter)
Next
End Sub