When it came to Thor's most recent time on Midgard, women generally only shouted his name in a very different sort of context. Thor once had a pair of women's undergarments thrown at his head. That had displeased his girlfriend Jane Foster very, very much.
Generally speaking, it was safest to avoid women who screamed his name.
This, he could just barely tell, was different. This reminded him of the mortals during the Battle of New York. Someone was in distress, spotting him by the flash of his red cape in the sky as he continued to explore The City. He landed several paces ahead of the woman calling for him.
"Are you hurt, madam?" He frowned. There was something oddly familiar about the way she dressed, the manner in which she addressed him. It hadn't quite clicked yet. Each step closer to Siggy was solid. He would not turn away someone in their time of need.