Before engaging Alioth, Loki tells Sylvie that he's cold before conjuring himself a blanket. This is inaccurate, as he's a Frost Giant and should resist to cold like his other variants. He could however be trying to get Sylvie to hug him, but since Sylvie is also a Loki she shouldn't be cold as well. Even so, this could mean that Loki was simply nervous around her, therefore not thinking straight.