Thor is an alien the same way Iron Man, Wolverine and everyone in this thread is an alien, in that it kind of depends what definitions you are using as far as applying the term. We know there aren't three literal layers of landmass of which Earth is situated on the middle one. its more of an analogy for example and a description for those that dwelled thousands of years ago whose language differed. With Marvel, the idea tends to be that various mythological realities/regional mythologies all coexist rather than compete and the best way to allow for them all to, is to create this idea that they are all linked to Earth and their respective regions but may be occurring adjacent to Earth. The Earth connection exists in two ways - they are anchored to Earth and that Earth is a sentient being of sorts - Gaea, an elder goddess whose father was the Demiurge and similarly plays a vital function in Earths creation) and whose son is the Demogorge - the same Demogorge/Atum whose battles with Elder Gods helped pave the way for various mythological pantheons to exist on Earth - many of which interacted with Gaea.
It is possible to assert that these mythological places anchored to Earth aren't Earth and thus people from them are aliens, but playing with definitions means that people who aren't from my country of North Fakerica are also aliens because they are foreigners. Also in Marvel humans are basically only here because of the Celestials, so yup aliens as well. Technically anything that isn't Gaea or Demiurge is an alien as well if one wishes.
Also important to note that being a god and being an alien is not mutually exclusive, characters can be defined as both. Its a bit odd to suggest only characters from Earth can be gods, in Marvel we know hundreds exist from other planets. Is Wolverine a mutant? Answer he is short... umm? Basically there isn't really one absolute answer with all this, its all about how a person explains and understands their assertion and how accurate they are.
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