It doesn't immediately register with Thor's stupid, mortal mind that she doesn't recognize him. He knows who she is. She helped him escape Sakaar. She promised to come home to Asgard to help save their people and defeat Hela. Why on Midgard would she not immediately know who he is?

It's only when she asks her question that something inside of his stupid, mortal mind clicks, and he realizes that she's looking at him .. exactly the same way she did when they'd first encountered each other on Sakaar. There's not an ounce of recognition in her eyes, and this epiphany causes Thor to pout a little bit.

"Of .. course I have," he responds, the corners of his lips tugging downwards. "You're a Valkyrie. I grew up with stories of you and your victories." A beat. "But you were wearing it when we stole the Grandmaster's Orgy Ship and flew into the Devil's Anus."