Thank you very much for your answer.
That was exactly what I was thinking about. Install wordpress on one server and open edx on another. Unfortunately, I don't know how to handle redirections.
Is it possible, if wordpress is on server A under mydomain.com, open edx to be on different server, server B, under courses.mydomain.gr ? That was my initial question. If I setup a domain on a server, can I setup a subdomain of that domain on a different machine?