Nyan Thor is one of the many spoofs of Nyan Cat. He is Thor from Marvel comics and he has his signature hammer and has a rainbow trail. The video also has scenes from the Thor movie. There is also another version where Thor is riding on top of Nyan Cat.
In the comics, Thor is a demigod and half-brother of Loki, god of mischief. Once Thor came to Earth he joined The Avengers, a team of superheroes (Some of which are Captain America,The Hulk and Iron Man).