The hug caught Thor by surprise, but not so much so that he froze or didn't know to return it. This was exactly the kind of comfort both of them needed right now. Truthfully, the sight of Hela had left Thor shaking. Diana would feel that in the moment their hands touched. His composure was good though, resolve strong, and he was trying so damn hard to not let Hela beat him again. It was an illusion, a ghost, something. She was gone. Destroyed alongside Asgard itself when Surtur enacted the final step of Ragnarok.
She wasn't coming back.
He kept repeating that to himself over and over again in his head. "We weren't cautious enough. That's all. Not a mistake I intend to make again."
When Diana collapsed, Thor started looking around for water and first aid. He found one, but not the other, crammed into a vending machine that had been blown open when the rest of the glass shattered from the shockwave earlier. He grabbed four bottles, two for each of them, then headed back to Diana.