But he is such a squishy and delightful character! :DDDD

I think, if this works for you -- the Thor in Sandman is pretty explicitly a god, and your Thor in Thor is also pretty explicitly a guy who got interpreted as a god even though he is not, so we'll roll with having them as totally separate Thors, which is something that Dream is aware of but in a way that doesn't really make any political difference to him since he is dealing with his version of Odin, Thor, Loki, et al. in a political sense in Season of Mists forward.

...does that make any damn sense at all, it's late and I've been driving all day