context: he's trolling a creepy girl who's trying to lure people into a dark alley to probably eat them with a web of lies, and this is his response to a "your mom" crack
(he thinks) he's already convinced her that his illusion is the real him and he naturally doesn't have a solid body, now he's trying to convince her that he doesn't have a mother (but does have dads)
my Loki today: I do not have a mother.