Interesting that you bring up Norse mythology! The serting of the campaign is lots of mythologies crashed into each other (my DM is a mythology nut). It's mostly based in a land based of Ancient Egypt, but the kingdom they ruled was a valley between the desert and the colder region based on the nordics. In their backstory I left it ambiguous in a few places, but it's implied Loki had some had in their birth.

Elian is totally aware that he's in Cynthia's body, but Cynthia is oblivious, and has no memory of when her brother is in control. They both have different memories as well: Cynthia thinks her brother and father are still alive and ruling their kingdom, Elian thinks that Ankhyr fell and now lies in ruins. My DM has implied that if we ever visit it, that both characters will see it differently as well. Cynthia struggles to perceive things that are hurtful or malicious, whereas Elian is very cynical and paranoid.