Headcanon: Or The Reason Why Thor Can’t Just Hop Into Middle-Earth
Aule was the Name of His Oldest and Truest Self, the one at the very beginning of Time, who had lent His Voice to the One when the Great Music Sang All of Creation into Being.
He remembers creating the Khazad - His beloved Children, made in His image, hearty, brave, wrought of stone and earth, loving the very bones and sinews of Arda itself and delighting in bringing forth its secret treasures. He remembers pleading before the One to spare His Children that he had brought into being in his eagerness and pride and yes, love for the Great Music.
And while he will not speak of these Mysteries, he remembers the One smiling and brushing a kiss across the brow of the Eldest of His Children. A blessing.
Thor is but one of His Many Aspects. A Part of His Self - brash and arrogant and brave and merry and true - much like His own Children. He had sworn, along with His kin, that He would not set foot on Arda, lest they bring about the Dagor Dagorath in untimely fashion.
But there ought to be no harm in watching over his new shield-brothers and sister.
Thor doesn’t mind being a Giggling Pink Valar Cloud. His sweet Jane rather likes that color.