Asgard is not a place, it's a people

Grammatically either would be valid, but not quite the same.

The people would mean a particular group of people, which in the context would mean "the people who live in Asgard".

A people would mean a particular group of people defined by some line of nationality, ethnicity etc. As in this definition:

(countable) Persons forming or belonging to a particular group, such as a nation, class, ethnic group, country, family, etc; folk; a community. Source

It can use the indefinite article because there are of course other "persons forming or belonging to a particular group".

The two are so close that it would have been reasonable to use either, but the choice of "a people" gives a better pairing to "a place" and so was probably the better choice.