Thor had done this partially so Diana wouldn't notice the physical reaction she was having on him. She was a woman. He was a man. It's a simple calculus to figure out what was happening. In the end though, this position felt better, more comfortable, and allowed both of them more space on the bed. Thor kept his arm around Diana, eyes drifting lazily to her face as they dozed, neither fully awake or asleep. She was so beautiful and he was just tired enough that the thought was given voice.
She seemed content here, comfortable, and he was happy being with her, seeing that tired smile. Whatever partner Diana found would be blessed to wake up to this sight every morning. Thor found himself lucky to be seeing it now.
"It helps." He assured her, knowing there was some double meaning there if he looked. He'd chosen to take that at face value, though, and not embarrass himself further.