As far as I know, he is a native of the asgardian dimension, just not the city of asgard where Thor/Balder/Odin/etc. are from. His homeland wasn't middle eastern or asian/mongul, it was just conquered by another asgardian named Mogul, who had no asian ties from any indication i've seen.
I've never seen him as anything but caucasian and his appearance seems to be as such. I just have a problem with changing comics characters ethnicity randomly, it takes from the authenticity a little bit. Clearly there's nothing to be done about it and i'll enjoy the film all the same, I just think its inane and unneeded.