Thor is one of the last surviving Avengers in "Marvel Zombies." His fate has been a topic of interest for many since Episode 5, "What If...?", so I personally rejoiced at his appearance in Episode 3. And yet... even despite his death in Episode 4, Thor left many questions unanswered. Perhaps this theory is already useless, or perhaps it will play a role in "Doomsday." Warning: spoilers ahead.
So, first, let's recall perhaps the most controversial moment: Stormbreaker's destruction by Thanos. In Infinity War, Thanos, with all 6 stones, couldn't even scratch the Stormbreaker, but in Marvel Zombies, he had enough of the Power Stone to destroy the legendary Asgardian weapon. Stormbreaker is the key to this theory.
As we know from Thor: Love and Thunder, Stormbreaker is sentient—he/she was jealous of Thor's love for Mjolnir and even stopped listening to Thor. Therefore, Stormbreaker is sentient. Even if the mind isn't magical, it could be a result of Stormbreaker's hilt being created by Groot. So, if Stormbreaker disobeyed Thor because he loved Mjolnir, then Mjolnir isn't there, and therefore Stormbreaker obeys Thor. Perhaps when Thanos unleashed the Power Stone's energy, destroying Groot and Rocket, Thor survived because Stormbreaker's... passed on his power to him!
Stormbreaker, wanting to protect his master, gave him all of his magical properties, and therefore, when Spider-Man threw Stormbreaker at Thanos, he easily incinerated Stormbreaker even with one stone.
But it didn't stop there—after the stones exploded in Wakanda, we weren't told or shown how Thor survived. Most likely, the god of thunder, having acquired Stormbreaker's properties, became completely immune to the stones' energy. The battle between Thor and Wanda in Episode 3 could serve as evidence of this. When Thor and Wanda collided, an explosion occurred, revealing glimpses of the stones' energy. Perhaps it was by taking this "property" from Thor that Wanda was able to recreate Stormbreaker. I'll conclude with a modified quote from Odin: "Stormbreaker is not a weapon, it is the power within the weapon."