Sorry, can't remember all the details. It was too much information all at once. It seems like they just met in that scene, so I don't think Korg knows who Thor is. The exposition is very brief.
There was actually another scene before that. Thor is strapped to a moving chair in some kind of dark room. Then the environment starts to change. A lot o bright lights, saturated colors, very psychedelic. Kinda like that sequence from 2001: A Space Odyssey but with a Doctor Strange feel. Thor is confused, while a voice explains to him where he is, what he is about to do, etc. Then he realizes he was in the center of the Grandmaster's throne room the whole time. Jeff Goldblum is there, staring at him. To his left is Valkyrie (Tessa Thompson) and to his right is Topaz (Rachel House). Many guards wearing Jack Kirby style armor are there as well. Thor tries to escape, he even breaks one of cuffs, but is neutralized by the Grandmaster, who looks intrigued. That's pretty much it.
Yes, for a while, then Thor starts to run around the cell, trying to figure out an exit.