it bugs me.
In the movies, he technically is and even the other Asgardians make note of that in the first film. They mention how Thor came to Earth and started swinging his hammer around and summoning lightning and the natives praised him like a God.
Eh, it's because Disney is comprised of ultra right-wing jingoists who don't want to piss off all the nutcase religious right groups, so it was probably expressed to Marvel to make Asgardians into aliens. It's interesting that Marvel made that point ambiguous in the film considering they had a promo poster for the first film with Hemsworth's image and "God of Thunder" as the description.
Thor's not an Alien , he was Born on Earth in a cave in Norway, His mother is the Earth goddess, He was raised in Asgard, Just like his Buddy Hercules also born on Earth ,except Herc is a demi-god who ,becomes a full god, then mortal again. Where Thor is a Hybrid God, Odin /Sky father- King of Asgard & Gaea Earth Mother & one of the last of The Elder Gods, Born on earth Not an Alien "nuff said"
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.
They call him a god in practically every comic book he appears in. The alien theory in the movies may or may not be Disney-related apprehensions (I personally doubt it, but I suppose it's possible) but it didn't just start with the movies, it existed in the comics before that. Universe-X's Asgardians were Celestial-engineered aliens with technology so advanced it was practically magic.
And I don't see why being born on Earth means you're not an alien. When most people use the term "alien", they're implying someone's physiology (primarily) is extraterrestrial. Being born on Earth to Venusian parents doesn't make you human. We're not using the legal definition of "alien" here, we're using the comic book definition.
In some of the alt-u stuff the Asgardians are literally aliens. The Earth-X stuff comes to mind, but also some renditions of them in Exiles. I agree that the movies kind of explain the fantasy elements of Thor in more magi-tech or sci-fi terms, which implies aliens. It's when you start getting into the comics and showing him doing literally godly things, like entering the afterlife, that you get past this.