In 2012, Highland Park—a remote distillery that was founded more than two centuries ago on northern Scotland’s windswept island of Orkney (once a favored Viking haunt)—created the Valhalla Collection, a limited-edition collection of cask-strength single malts that each pay tribute to a different Norse god.

First there was Thor, a 16-year-old single malt representing the mighty god who used his hammer to create the rugged cliffs of Yesnaby on Orkney’s far western shores. Then came Loki, a mischievous god per…