Loki, Natasha and Tony DIDNT make it to Valhalla.
Here’s my reasoning:
In the mythos Valhalla is in Asgard, and so is the entrance. (There are other entrances scattered across the nine worlds, but Asgard is the main entrance)
There are no Valkyries (except one) to deliver them from the place of their death. In the mythos it’s the Valkyrie’s job to bring to souls of warriors to Valhalla, with no Valkyries none one can get to Valhalla, even if it did exist.
Natasha technically commit suicide, you CANNOT, under any circumstances, get into Valhalla by committing suicide. Though it was for a heroic cause, she willingly took her own life, which in the eyes of the Norns, isn’t a heroic warriors death.