There has been no indication that Lazio is interested in running for governor. Rudy Giuliani is more likely to be the GOP candidate for Governor, although that remains to be seen.
Giuliani has supposedly dropped out of the running. Lazio has already declared his candidacy for Governor.
From Politics1, 5/23
“NEW YORK. As expected, former Congressman Rick Lazio (R) formally entered the race for Governor. A new Marist University poll shows Lazio leading vulnerable Governor David Paterson (D) by a 40-37 vote. The poll shows Paterson also trailing former New York City Mayor Rudy Guiliani (R) by a wider margin of 53-38 vote. Guiliani is no longer expected to enter the gubernatorial race — although the poll shows he’d defeat Lazio by 75-14 vote in the GOP primary. Attorney Ed Cox (R), son-in-law of President Nixon, is also exploring the race. The poll also shows Paterson getting crushed by Attorney General Andrew Cuomo in a prospective Democratic primary by a 70-21 margin.”