I know a lot of Thor supporters often use his fights against Mephisto for feats and the like, but really, I chalk those up to Mephisto's CIS. If he really wanted Thor destroyed, he could do it easily in his realm. The guy turned Mjolnir into slag (which some believe was only an illusion, but Hell Lords are "omnipotent" in their own realm and given his high end feats, seems legit to me).
That said, Mephisto is almost always playing an angle when he "fights" heroes. If he's doing his soul snaring bullshit as usual, the nobility of the duo or whatever would route him. If he wants them dead, I see it happening.