It was an easy mistake for an Asgaardian to make, especially one with as much self-confidence as Thor. When he heard that there were god-fearing people in Griswold, he assumed himself to be the god in question. Following the blow to his overly inflated ego, he was more than happy to join your team, relieved to be wanted by someone. When you mentioned that you were looking for other heroes, he swore that there definitely isn’t anybody of note in Pachaug. It’s possible, however, that he just didn’t want you to find and recruit someone more powerful than him.