raven-brings-light:

The Third Time by @philosopherking1887 is about Loki dying but it’s gen.

Verlorenes Wasser by hermaline75 has undead Loki who dies again but in a happy way.

Over Now by @illwynd and it’s very dark – actually have a peek through illwynd’s catalog in general, there is more than one with one or both of them dying…

I tend not to go for major character death myself so I don’t have much to offer than this, sorry!

Thanks for the rec! I’ve got a few more:

a lack of color by @cavaleirahh might be the closest to what you’re looking for – Loki dies (and stays dead), Thor mourns.

The Broken Saga by khaleesian (the second part of the series Norse of a different color) involves Loki dying and Thor going to great lengths to bring him back.

The Joy of Vivisection by @illwynd sort of counts…? It’s dark in a lot of other ways, though (as is standard for the author), so approach with caution.