Not quite the same word.
The gas is ήλιο in modern Greek, and the Ancient Greek form would have been ήλιον. It's a neuter noun (modern το ήλιο, ancient το ήλιον).
If the Romans had borrowed the word, it would have been helium, using the Latin ending for a neuter second-declension noun -- and that is the form we use in English, as newly-coined Greek words are often put into English as if they had come through Latin.
The noun looks similar to the accusative case of the masculine noun ο ήλιος (the sun): modern τον ήλιο, ancient τον ήλιον.
But they're not the same word -- helium is derived from ήλιος with the -ium ending used for the names of metals, since that's what scientists originally believed it was (see https://www.etymonline.com/word/-ium and https://www.etymonline.com/word/helium ).