Within Marvel or at least Thor's corner of Marvel Thor is a bona fide god and Odin is the creator of Earth and humanity. One of Odin's mythological titles was "Lord of Midgard." From at least a religious perspective, gods are usually considered higher beings with authority superseding mortal authority. An reason given for why superheros do not kill or take certain actions is they are not gods. They are not supposed to decide who lives or dies or overrule local governments.
Yet, Thor is a god. He is the son the Earth Mother Gaea and stand to inherit all authority from Odin and Gaea. He is usually respectful of mortal law, but now much does it really apply to him?
Hard to say, as much as any sort of alien thing I guess? He has helped Earth a fair bit and at times is a diplomat from Asgard but formally it is hard to say.
He respects mortal law but it has not applied to him much of the time because he is not really breaking it outside of events that are saving things and causing collateral damage.