Thor would be the most likely. Since Thor has a connection to Norse mythology already, he would be familiar with Sleipnir. He might see Sleipnir as a symbol of his home realm and would quickly bond with it. They could communicate in a way that the other Avengers can't, sharing stories of Asgard and the great battles there.
One possible plot could be that Sleipnir, the eight - legged horse from Norse mythology, somehow ends up in the Marvel universe. The Avengers initially mistake it for a threat. But then they discover that Sleipnir is being chased by some dark Norse entities. The Avengers decide to protect Sleipnir and in the process, they learn about Norse magic and mythology, and how it can be both a help and a hindrance in their own universe.
One possible plot could be that the Avengers are on a mission in a realm where they accidentally stumble upon Sleipnir. They initially mistake it for a threat but then realize it has its own intelligence and might be an ally. Maybe Sleipnir can help them travel through different dimensions to stop a greater evil that is spreading across the multiverse.
Thor could be the main character. Since he has a connection to Norse mythology and Sleipnir is from that realm. He would be the one most likely to understand Sleipnir and communicate with it.
I'm not very familiar with this specific fanfic. However, generally, a fanfic about Loki and Thor might explore their complex relationship in the context of the Marvel universe. If Loki is intersex in this fanfic, it could add an interesting layer to the character's identity and how they interact with Thor.
Writers can also depict Loki as a character who is on a journey of self - discovery. His intersex nature is just one part of who he is, but it has a significant impact on how he views himself and his place in the world. He could start off as a more withdrawn character, but as the fanfiction progresses, he becomes more open and confident, especially with Thor by his side. The fanfic could explore how Loki's intersex identity shapes his relationships not only with Thor but also with other Asgardians.
His character could also develop in terms of his powers. Maybe the abandonment was related to his latent magical abilities. He could start exploring and mastering his powers more in the fanfic. Thor's presence could either be a hindrance or a help. If it's a help, Thor could encourage Loki to use his powers for good, which would be a big step in Loki's character development.
Loki could also show signs of fear, though he would try to hide it. Inside, he knows the power that Thanos wields. But on the outside, he would maintain a facade of bravado. His reactions would be a mix of his natural cunning and the instinct to survive in a very dangerous situation.