After watching Vikings on the History Channel, Floki and the other characters are always talking about the gods Odin and Thor. This got me thinking, in the Marvel Cinematic Universe what god, if any, does Thor worship ?
Thor is a god in Norse mythology. Therefore, he doesn't believe in a religion. He is the religion himself.
In Norse mythology that is mentioned in Vikings is so different than MCU references of Nordic items. However, they share the same origins.
In Marvel Comics (Earth-616) there are references to the Norns. Norns are the fate incarnate. Even the Aesir and the Vanir respect and fear them. There wasn't any mention in MCU about them so far.
Short story, Asgardian Gods do not have other gods to believe. They are the ones who are worshipped.
There is no evidence of any specific religious believes held by Thor in the MCU. This doesn't mean he doesn't have them or that they could never be introduced, but the MCU varies from Norse myth and faith on a number of points, while drawing from others. Explicitly outlining Thor's faith (if any) is likely made considerably more complicated as a result.
That said, the MCU has been vague about the religous beliefs of most of the characters (with the notable exeception of Steve Rogers, who avers his faith publicly in Avengers). The writers may simply not be interested in answering the question in general.