It was obvious that both were hurting, but Thor didn't hesitate to try moving when Diana commanded him. She had a way of driving him forward in situations like this, keeping him going and keeping him strong. Even when it had just been them, the hotel, and the idea that they were trapped, her positivity got him through.
His hand in hers, Thor got to his feet and let Diana lead, for a time, back the way they came. He kept Stormbreaker at his side, careful to keep the weapon ready in case someone else decided these two were easy targets. For all Thor knew, that illusory Hela could have just been there to soften him up, like the early stages of a bull fight, before going in for the kill at a different time and place later. They walked in silence, retracing their steps as best they could, and Thor found that he was leaning on Diana far more than he liked.