Prime Minister Gordon Bajnai on Monday urged police to pursue all legal avenues to stop the event. Hungary must not be allowed to become a 'paradise for neo-Nazis', he said.
Police said they would announce their position Wednesday on the planned gathering.
Numerous civil rights organizations said they would hold an anti-fascist demonstration to coincide with the pro-Nazi commemoration.
Hess was sentenced to life imprisonment in the post-war Nuremburg trials. He died alone in Spandau prison in Berlin Aug 17, 1987.