Thor frowns at her. "I would think twice about playing such a joke on me."

His brother is dead and the only way for Thor to see him again is to die. He knows Loki rests in the halls of Valhalla and that is where they will be reunited one day. This is not Valhalla so his brother cannot be here.

Perhaps this is a test of some sort. She looks very similar to Jane. This place might be pulling from his memories to deceive him.