Here's why Loki knows about his Frost Giant past in Marvel's What If...? episode 3. The third episode of Marvel's animated show explores a universe where five of the original six Avengers were killed before the team could even form. Hank Pym's revenge plot against Nick Fury and SHIELD leads him to murder Iron Man, Black Widow, Hulk, Thor, and Hawkeye. What If...? episode 3 features several other familiar characters from the Marvel Cinematic Universe, including its most popular reformed villain.
Tom Hiddleston returned as Loki once more to voice the god of mischief in What If...? episode 3. His role is relatively small but he plays an important one nevertheless. Loki arrives on Earth after Thor's death to get revenge for his fallen brother and brings the entire Asgardian army with him. Although he eventually agrees to work with Fury to take down Thor's killer, Loki doesn't fully reform by the end of the episode. He uses Asgard's forces to take over Earth in a single day, making him the ruler he's always wanted to be. But, What If...? also includes a mention that Loki knows of his Frost Giant past and that he should be the ruler of their homeworld, Jotunheim.
Loki's Frost Giant past is a mystery to him throughout the beginning of Thor, and it is something that the MCU has mostly ignored beyond the occasional reference to his real name being Loki Laufeyson. So, how does Loki know that he's the rightful ruler of Jotunheim in What If...? episode 3? The answer comes by looking at how the show's events sync up with what actually happened in Thor. Loki learned that he was part Frost Giant when visiting Odin's Vault in the movie. This happened right before Thor attempted to reclaim Mjolnir from SHIELD's base. Since What If...? shows that Thor died during this event in this universe and Loki's arrival on Earth comes after, Odin telling Loki about his Frost Giant past has already happened.
The continuity of what happens in What If...? episode 3 might be very different from what happened in the MCU's Sacred Timeline, but the timeline of events still line up. The episode showed the correct viewing order for Phase 1 as it canonized Fury's Big Week, with Iron Man 2, The Incredible Hulk, and Thor all happening within a few days of each other. If fans needed any more proof that Loki already learned about his Frost Giant past from Odin at this point in time, the trickster possessing and using the Casket of Ancient Winters further illustrates he knows where he really comes from.
Loki's role in Marvel's What If...? and knowing about his Frost Giant past could have major repercussions as far as this alternate universe is concerned. His original plan in Thor was to have Laufey kill Odin while he was in his Odinsleep, with Loki then killing Laufey and ascending to Asgard's throne for good. He also wanted to destroy Jotunheim as part of his revenge, but it appears that Earth became Loki's target instead. That could mean Jotunheim and Loki's fellow Frost Giants are still safe and sound. But, now that Loki has conquered Earth too, it might not be long before he resets his sight on Jotunheim.
Marvel's What If...? releases new episodes Wednesdays on Disney+.