There are no Greek words that start with W. The Greek alphabet has 24 letters, and none of them is a W. The letter that looks most like it is the capital omega (Ω), which looks like a W with a flat base. But omega is the last letter of the alphabet, and it stands for a long “o” sound, not a “w” sound.
The reason is simple. Ancient Greek once had a “w” sound, written with a letter called digamma (Ϝ). This letter faded out of most Greek dialects well before the classical period, and it never came back. Modern Greek has no “w” sound at all. When Greek words are written in the Latin alphabet, the letter W is not used. Greek speakers write the sound of “w” in foreign names with the letters ου, which spell a “oo” sound. So the name “Walter” becomes Ουόλτερ in Greek.
Some things come close. Greek words that begin with omega, such as ώρα (hora, “hour”) and ωραίος (oraios, “beautiful”), often get mistaken for W words because of how the letter looks. English words from Greek that start with “o” or “ho,” like “ode” or “horizon,” also follow this pattern. If you are looking for Greek words by their first letter, the best way is to browse the list under omega or under the other Greek letters.