I found this reference in a New York Times article from 1997, some 4 years before American Gods was published.
Darth Vader: Mr. Lucas went back to the Dutch root for father to arrive at a name that approximates ''Dark Father.'' Vader's original name is Anakin Skywalker. Anakin is a variation on a race of giants in Genesis, and Skywalker is an appellation for Loki, the Norse god of fire and mischief. The inspiration for Vader's face mask was in all likelihood the grille of a '56 Chevy.
I also found a book reference from 1996 suggesting that this was originally Loki "Sky Traveler" rather than Loki Sky Walker, referencing his flighted shoes from the original source myth, the Skáldskaparmál.
Then Loke offered to ransom his head. The dwarf answered saying there was no hope for him on that score. Take me, then! said Loke; but when the dwarf was to seize him Loke was far away, for he had the shoes with which he could run through the air and over the sea.but when the dwarf was to seize him Loke was far away, for he had the shoes with which he could run through the air and over the sea. Then the dwarf requested Thor to seize him, and he did so.
The use of Loki SkyWalker is most likely an internet fan theory (which Gaiman is back-referencing) rather than an original creation.