By Alastair Macdonald BRUSSELS (Reuters) - The European Union is considering setting up facilities in non-EU Balkan states to screen asylum claims by some of the tens of thousands of migrants heading north from Greece, ministers said on Monday. After EU interior ministers reviewed efforts to handle arrivals in Greece and Italy by sea, Luxembourg Foreign Minister Jean Asselbornho, who chaired the meeting in Brussels, said he had asked them to look into ways to register and review requests from the large numbers who leave Greece undocumented, many of them heading for Germany. If people, including Syrian refugees and Asians seeking work in wealthy Europe, continue to trek north from Greece that would imply at least partial failure of EU plans to help Athens handle arrivals in line with an EU rule that asylum requests should be handled where migrants first cross the 28-nation bloc's border.