Thor has been a pretty frequent visitor to Earth (Midgard), and he has most likely been here on one or more Thursdays.
Has Thor said anything about this day being named after him?
Any continuity - comics or movie.
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There's a scene in the 2011 film Thor in which the characters come across a book about Thor, the Bifrost, and so on. The page about Thor has the following words in large, bold letters:
THURSDAY - THOR'S DAY
The characters share their findings and research with each other several occasions throughout the film, so it's possible that either Thor had a chance to look at this book or someone mentioned the information to him.
Thor and his friends seem to have a decent understanding of how their previous visits to Earth have impacted humanity.
FANDRAL: This isn't like a journey to Earth, where you summon a little lightning and thunder and the mortals worship you as a god.
- Thor (2011)
Thor is aware that his previous visits to Earth have impacted history and civilization. Given that he knows some humans worshiped him as a deity, it seems very likely that he would also be aware that Thursday was named after him.