Thor's had enough dealings with intangible forces and visions that he knows enough to believe her. Norns willing Odin is in Valhalla, where he belongs, but death is not an impenetrable barrier that walls off access to the living. Whether the veil is thin because of the place, the time, or the presence of this nature spirit, it matters little.

He's prayed for Odin before, in the cramped deteriorating prison of the Grandmaster's slave pens, with no hope of knowing if it made any difference. If Odin can hear him now, he'd be a fool to waste the chance to pay his respects.

He's not going to thank her, exactly, after what she did to him. But it's an olive branch nonetheless, one she didn't have to offer, and that's... well, it's something. "I will."