I just thought about this. Thor can’t tell between the real and the illusion. I mean, Thor doesn’t know that it was Loki who is “disguised” as Odin. Thor doesn’t know that the dead body he was holding and he was crying on wasn’t Loki. Nope. Thor can’t see through Loki’s illusions.
I believe the only reason he noticed about Loki putting on the illusion in this scene is, because he knows that Loki loves Frigga, his mother, despite him being mischief, greedy, or whatever they call it. Beside, in the deleted scene, Thor caught Frigga “visiting” Loki in the prison. Thor is sure that Loki will be very sad after he heard about his mother died. Especially when Loki didn’t see Frigga for the very last time to say goodbye.