1. Kid Loki said he killed the Thor of that world.
2. The little creature is Throg, a frog with Thor’s powers. It’s just another Easter Egg from the comic books, like the Thanos helicopter and the costume of “Classic Loki”. Perhaps he’s from the same dimension as Crocodile Loki in this series.
Thor became Throg, Frog of Thunder, due to a curse, in a story written and illustrated by Walter Simonson in the 1980s. When Thor transformed back, he ended up gifting a portion of his power to a regular frog to continue protecting a bunch of other frogs living in a park from rats. The story only lasted for one issue and was basically just an excuse for Simonson to have fun drawing a frog wearing a helmet.
I’m sure the character is still in use, but I haven’t been a comic book-reader for years.
The Thor comics (and the characters) are a lot weirder and deeper than the films or Disney+ series, which are tailored to appeal to a much broader audience.
I own the old gold foil cover edition of that trade :)
The character's story continued, after a fashion, in Kurt Busiek's 'Power Company' and Marc Andreyko's 'Manhunter', which are both worth tracking down.