I have typically used graphite, copper or brass electrodes for EDM. If using a tungsten electrode, you will need to monitor the erosion to ensure consistent hole diameter through the depth.

My question was, can I used welding electrode for EDM machining???

You can use a welding electrode for EDM machining. The type of welding electrode material is important for a better perfomance of MRR and surface finish in EDM.

Principle it can work.

depend on how big the hole and the sheet thickness ?

first try a steel sheet  with the tungsten electrode.

It only makes sense for very small holes (

In EDM the spark produced between two high potential polarities removes the material. In welding also two polarities are there. Hence it will work. But the electrode material has to be with high melting point.