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It is technically possible but practically virtually impossible.
There are so many issues you would face:
Many car rental companies won't even let you take your car to a Greek island, not to say to another country.
Your only option is to leave a car in Greece, cross a border by bus/taxi/etc and rent another car in Macedonia.
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I continued to research after my previous discouraging comment, and it is difficult but not impossible. Avis will allow, if the reservation is made directly with them (there is an email at that link), and an additional insurance fee of over 100 Euros, depending on car class. Also, renter must have either American Express or Diners Club.
Economycarrentals.com, which you can see recommended on other sites, is now a No. Thrifty, No. Enterprise theoretically can be arranged, but many surcharges including loss of unlimited mileage.
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