Excellent idea. I suggest Athens, for the historical significance, and which also hosted the summer Olympics not too long ago, so the facilities are already there.
While mountain air is often cleaner, I think sea level would be most appropriate, again for the fastest times for most events. Very short sprints (100m dash, for example) are faster at high altitudes. The lower oxygen content negatively affects medium and long distance events but the lower atmospheric drag more than compensates for short sprints.
Perhaps you could hold it somewhere like California, Taiwan, Oman, or Alaska, where there are high mountains very close to the coast. That way you could hold events at whatever altitude is most optimal for performance, while minimizing travel distance between the venues.
Anchorage seems like a fine choice at first. Great air quality but not so pristine that the infrastructure would ruin an unspoiled area. There are two mountain ranges within a couple-hour drive. However the tallest range (Alaska Range) is in an undeveloped national park so putting infrastructure there could be quite damaging. Also the tallest peak, Denali, is sacred to Native Americans. The Chugach range is much closer to Anchorage and has quite a bit of tourism infrastructure but the peaks are lower - 7,000 to 8,000 ft peaks vs the 11,000 to 20,000 ft of the undeveloped Alaska Range.
While some ski areas, such as Bjelasnica in Sarajevo, were able to meet this requirement by building a raised start structure, there's nowhere in Greece that even comes close.