This Idea had already occurred to me... played as Loki the trickster. Male Breton. He is now eternally stuck with the daedric lord sanguine in misty grove. Go figure.
Thor - Wields thunder, wears heavy armor, master of hammer, does not sneak or stray from the path of just
Loki - master of sneak, illusion, conjuration, "it is foolish to start a fair fight"
(as house rules: I only play dead-is-dead; no crafting skills; generally no munchkining allowed)
Are you talking mythology Thor and Loki or Marvel Thor and Loki, IMO mythology versions fit better. Just so you know you might want to take up smithing and enchanting so that your Thor or Loki's armor and weapons can be stronger since they are Norse gods and would be harder to kill than normal people.