$\def\Gal{\mathrm{Gal}}$
$\def\Res{\mathrm{Res}}$
$\def\GL{\mathrm{GL}}$
$\def\F{\mathbf{F}}$
$\def\Q{\mathbf{Q}}$
Edited to include more details.
Let $K$ be a field whose characteristic is prime to the order of $G$.
The algebra $K[G]$ is a product of matrix algebras over division rings.
Given any absolutely irreducible character $\chi$ with coefficients in $L/K$, the question of whether $\chi$ may be realized over $L$ is equivalent to whether the corresponding division algebra $D/K$ splits over $L$.
Suppose that $K = k$ is a finite field. Then, by Weddeburn's theorem, there are no non-trivial division algebras and irreducible characters with values in $k$ have models over $k$.
Suppose that $K$ is a number field. For all but finitely many places $v$ of $K$, $D \otimes_K K_v$ is a matrix algebra. So, at least away from finitely many places, irreducible characters with values in $K$ have models over $K_v$.
Example: Let $G = Q_8$ be the quaternion group, and let $\chi$ denote the absolutely irreducible faithful character of degree $2$. Then $\chi$ is valued in $\Q$. However, the corresponding quaternion algebra $D$ is ramified at $2$ and $\infty$. Hence $G$ does not have a faithful representation over either $\mathbf{R}$ nor $\mathbf{Q}_2$, but it does for $\Q_p$ and all odd primes $p$, because $D \otimes \Q_p = M_2(\Q_p)$ in those cases.
In the example above, we see that the obstruction arises for finite places only at the prime $2$ which divides $|G|$. Let us show that there is no obstruction for any $v$ such that the residue characteristic is finite and prime to $|G|$. In such cases, there is a bijection between absolutely irreducible characters in characteristics zero and $p$ given by reduction modulo $p$. Let $\chi$ be an irreducible character with values in a local field $E$. It preserves a lattice $\mathcal{O}$, and gives rise to an irreducible character over the finite field $k$, which has a model over $k$ by the remarks above. Hence (because the characters are in bijection) it suffices to prove the following: any representation:
$$G \rightarrow \GL_n(k)$$
with image $H$ admits a lift to $\GL_n(W(k))$, since $W(k)[1/p]$ will be necessarily be a subfield of $E$. (Not surprisingly, we see that all representations have models over unramified extensions when $p \nmid |G|$, since the characters are all valued in $\Q(\zeta_{m})$ where $m$ is the exponent of $G$.)
There is a projection $\GL_n(W(k)) \rightarrow \GL_n(k)$; let $\Gamma$ denote the inverse image of $H$. Since $H$ has order prime to $p$ and the kernel of $\Gamma \rightarrow H$ is pro-$p$, by Schur-Zassenhaus there is a splitting $H \rightarrow \Gamma$ which gives the required lift.
Suppose now that $\eta$ is a general (genuine) character of $G$ over a local field $K/\Q_p$ with values generate the field $L/K$, and suppose that
$p$ does not divide $|G|$. We prove that $\eta$ has a model over $L$. As noted above, $L/K$ is unramified, so in particular is Galois and $\Gal(L/K)$ is cyclic.
The result is true for
irreducible characters from the discussion above.
Suppose that $\chi$ is an irreducible constituent of $\eta$. Since $\Gal(L/K)$ fixes $\eta$,
it follows that the $[L:K]$ distinct characters $\sigma \chi$ occur inside $\eta$.
Hence
$$\eta = \phi + \sum_{\Gal(L/K)} \sigma \chi,$$
where $\eta$ is a genuine character of lower dimension. Hence it suffices to note that
$$\bigoplus \sigma \chi$$
is defined over $K$, because if $V/L$ is a realization of $\chi$, then the above is
$\mathrm{Res}_{L/K}(V)$, where $L/K$ is thought of as a $[L:K]$-dimensional vector
space in the usual way. The result follows by induction.
Example: Suppose that $p \equiv -1 \mod 4$, and let $\chi$ be a faithful character of $\mathbf{Z}/4\mathbf{Z}$. Then $K = \Q_p(\chi)$ is unramified over $\Q_p$ of degree $2$, and the representation $\chi + \sigma \chi$ is sends a generator to $i \in K$ thought of as a vector space over $\Q_p$. If one chooses the basis $\{1,i\}$ of $K/\Q_p$, this is just the matrix:
$$\left( \begin{matrix} 0 & 1 \\\ -1 & 0 \end{matrix} \right).$$
Conclusion: Hence, at least for primes $p$ not dividing $|G|$, there is an injection from $G$ to $\GL_n(\Q_p)$ if and only if there is a faithful character $\eta$ with
values in a field $K$ which has a prime of norm $p$. Since $K$ will be abelian and ramified only at primes dividing $|G|$, this is equivalent to asking that $K$ split completly at $p$. So the set $S(G)$ (up to primes dividing $|G|$) is the union of primes which split completely in some finite number of fields determined by the faithful characters of degree $n$. If one restricts to a fixed character $\eta$, then $S_{\eta}(G)$ is indeed Galoisian.
Providing that $\eta$ has at least one faithful character of degree $n$, then $S(G)$ has rational positive density, answering 1. As for 2, it is not strictly Galoisian according to the definition of the previous question, since that required that the set be the set of primes
which split completely in a single field. For example, one can take
$$G = \mathbf{Z}/12 \mathbf{Z}$$
and $n = 2$. Then $G$ is a subgroup of $\mathbf{GL}_2(\Q_p)$ for $p > 3$ if and only if $p \equiv 1,5,7 \mod 12$, but not $11 \mod 12$, and this is not the set of primes which splits completely in any field $L$. In this case, if $\chi$ is a faithful character of $G$ of degree $1$, then $\chi + \chi^5$ and $\chi + \chi^{-1}$ are faithful characters with values in $\Q(\sqrt{-1})$ and $\Q(\sqrt{-3})$ respectively.
If $G$ has a faithful character of degree $n$ with values in $\Q$, then we see that $G$ embeds into $\GL_n(\Q_p)$ for all but finitely many primes $p$. The converse is quite possibly false, however; one could imagine $G$ having faithful characters of degree $n$ with values in $\Q(\sqrt{2})$, $\Q(\sqrt{3})$, and $\Q(\sqrt{6})$ but not in $\Q$ (although I don't have an example off the top of my head.)