I believe you cannot render GP from VSE. But you can cheat a little by loading your video into 3D view as Background Image. Set image axis to Camera, raise Opacity up to 1.0, and you can draw your Grease pencil strokes in 3D view. When you are done, tweak output settings and render your video with OpenGL Render Animation.
Update: I guess I was wrong, and you can render GP from VSE, but again you should use OpenGL Render Animation, so your video shoud be “ready” (if you have some fancy compositing inserted into VSE as scene strip, you should probably render it first).