So I have a theory.

Spoilers below for episodes one and two, though the basic idea had occurred to me by the end of episode one.

n.b. this icon choice is not intended to imply any spoilers about the show. Though being a show about alternate selves and time travel with an immortal protagonist inclined to fake his own death, Loki could have gone in that direction, and I guess still could!
( Spoilers )