Thor arguably had a more in-depth story arc than most of the other heroes in Avengers: Infinity War, but according to the movie's directors, his arc almost took a completely different turn. Rather than heading to Nidavellir to create Stormbreaker with Ytri, one of the early drafts of Infinity War featured Thor tracking down his deceased grandfather Bor Burison.
In the comics, Thor often deals with the supernatural, looking for the spirits and ghosts of former loved ones for guidance or for help, or even on occasion to alter the course of destiny. Because of this, seeing Thor track down the ghost of his grandfather in Avengers: Infinity War would've actually made quite a bit of sense. It's unclear at this time why Thor would have been tracking down Bor, as this presumably was the planned alternative for Thor creating Stormbreaker. Perhaps this initial idea would have featured Thor tracking down Bor in order to rebuild Mjolnir so he could possibly face Thanos, or to simply search for guidance from his grandfather who knew almost nothing but war for his entire life.
Avengers: Infinity War co-director Joe Russo brought up this original idea. While he didn't go too in depth, he at least gave us a bit of context for how this deleted arc would have turned out. Here is what Joe Russo had to say.
"We explored a lot of different ideas of where Thor could go for that weapon. We even had versions of the story at one time where he was going to visit this sort of ghost of his dead grandfather - which was one version we were playing with that we didn't end up using. I am happy where we had settled."
Thor's grandfather, Bor Burison, previously appeared in Thor: The Dark World, in which he was briefly shown during the prologue of the movie when he decided to hide the Reality Stone. Perhaps Bor's involvement with the Reality Stone was part of what made Thor seek him out, trying to get more information on the strength of the Infinity Stones like he did during the years following Avengers: Age of Ultron.
Despite how interesting it would have been to have seen Thor seek out the ghost of his grandfather, it's probably for the best that this story arc was cut. The movie was already crowded enough, and adding an entire arc about Thor looking for the ghost of Bor may have been a little too much. The surprise appearance of Peter Dinklage on Nidavellir was simple enough for Thor's arc, making his triumphant return in Wakanda one of the best parts of the movie.
Perhaps this sub-plot featuring Bor Burison, reported by Cinemblend, will come into play in next year's Avengers 4, or possibly even in a later Thor or Avengers movie if Chris Hemsworth decides to stick around. It would be great to see Thor search for the ghost of his ancestors, as this is an aspect from the comics we have yet to seen on screen. Unfortunately, Avengers: Infinity War was just not the place for this.