If you want that the Greek letters respect the current family you have to completely redefine the math fonts, probably using Latin Modern Math.
A better way to define them as “fixed” symbols is as follows:
\font\tenrm="[lmroman10-regular.otf]:mapping=tex-text"
\textfont0=\tenrm
\font\greekcapstenrm=cmr10
\font\greekcapssevenrm=cmr7
\font\greekcapsfiverm=cmr5
\newfam\greekcapsfam
\textfont\greekcapsfam=\greekcapstenrm
\scriptfont\greekcapsfam=\greekcapssevenrm
\scriptscriptfont\greekcapsfam=\greekcapsfiverm
\begingroup
\def\getlastdigitsaux#1"#2#3#4#5{#4#5}
\def\getlastdigits#1{\expandafter\getlastdigitsaux\meaning#1}
\def\redefine#1{%
\begingroup\edef\x{\endgroup
\global\Umathchardef#1=
0 % math kind
\greekcapsfam % family
"\getlastdigits#1 % slot
}\x
}
\redefine\Gamma
\redefine\Delta
\redefine\Theta
\redefine\Lambda
\redefine\Xi
\redefine\Pi
\redefine\Sigma
\redefine\Upsilon
\redefine\Phi
\redefine\Psi
\redefine\Omega
\endgroup
$\Gamma\Delta\Theta\Lambda\Xi\Pi\Sigma\Upsilon\Phi\Psi\Omega$
\bye

$\Pi$
in my version of Latin Modern Math -font (Version 1.958, downloaded from GUST).