Plus it's rare to see Billy being resorted back. Only powerful beings have done it and Thor isn't one of them.
BTW, here is Ares post about this. He's extremely knowledgable about Cap. I'll quote him and maybe this will help.
Generally, lightning, even magic lightning, can't turn Captain Marvel back into Billy Batson. Members of the Marvel Family have been hit with regular lightning and magical lightning before and not have anything happen to them.However, powerful enough beings can revert Cap back into Billy, especially if he isn't prepared and actively resisting. The Spectre and the Thunderbolt have both managed this, though in both cases he was taken by surprise.
There have also been a few rare circumstances where regular lightning turned a Marvel Family member back into their mortal form, but those cases were pretty rare. The first was when Captain Marvel Junior was reverted back to normal when he was exposed to a super amount of lightning from supervillain Chain Lightning. However, it was explained that Freddy's connection to the Shazam power at the time wasn't as strong, since he draws his powers from Captain Marvel and not Shazam. Another time was when magic was being weakened across the globe because Gaia, the spirit of the Earth, was dying due to the events of Final Night. Because of this, regular lightning was able to effect Cap.
Beyond that and a few other instances, changing a Marvel Family member against their will has been extremely difficult. Dr. Fate managed it once only by using time travel, and he's about as powerful a mage as you can get in DC.
So, I have faith that Cap can resist Thor.