Thor is upset that the ghosts are trying to use him to get to Valhalla, but as a Norse Viking he would know that they are not eligible since they were not killed in combat. People who died in combat would to go to either Valhalla or Folkvangr. The rest would either go to Hel, or to the Realm of Rán, or remain on Earth as a ghost.
When Pete wakes up after Sasappis leaves the bedroom to go influence Jay to get a pizza oven for the restaurants kitchen while he is dreaming, you can see the arrow is behind Pete's neck and not positioned in the middle of his neck.