Thor and Loki get to go together because you don’t get one without the other.  
Originally was gonna have Thor with his helmet so they complimented each other with Loki having his unicorn horn and ram horns and Thor had his pegasus wings and his helmet wings.. but he wanted his mane to flow free so there ya go XD
 
 
Interesting side note for all the Avenger ponies. Not one of them is displaying their cutie mark. Loki would be some magical symbol which might look vaguely icey? not sure there. Thor would be lightning..duh XD
 
Also want to point out that I am doing pony commissions at the moment and you should totally check out the details here. [link]
 
Will be appearing on buttons, stickers, charms and etc at