Marvel never uses the term "soul" specifically, possibly because they're still hedging their bets regarding whether their gods are legitimately gods or just exceptionally long-lived aliens from another dimension that were worshiped as gods. (I tend to support the former, really--it's a lot simpler.) Instead they use terms like "divine life essence" and "godly life force" which to me means pretty much the same thing as "soul" when you get right down to it--just with the added benefit of being explicitly special and magic. ("Holiness" never seems to be an inherent godly trait in the Marvelverse, with "divine" simply meaning "special and particularly associated with those we're calling 'gods.'")

TL;DR, so--my read is that Thor has something similar enough to a soul that Nico would likely notice it, but still distinct enough from a mortal's soul that he could also notice the difference.