I can't recall seeing any "Thors" in recent memory.
I'm confused by the "should" part here - don't let what other people do be the determining factor as to what kinds of characters you make. That being said, come up with a unique look, don't make specific references to events or characters from existing IPs, and you should be fine. I mean, heck, Malta has Hercules, Zeus, and Kronos units, so it's not unheard of to tap into the names of gods/demigods...