It's because he thinks he deserves it, everything leading up to it reinforces that point. The whole issue was him telling himself how awful he was. They wouldn't have spent an entire issue having him berate himself if the real problem was that he was in physical pain. That he happens to be in a physically painful situation is only relevant because it makes him coming back more of an obstacle for him to overcome. It may also help act as a motivator, if his choices to end it are death, which is what he wants,
but he can't die, and living, he may choose to live in order to end the pain. But i think he made the decision he had to die before he ever woke up, and the real problem is more mental. If this was just about physical pain, as soon as he escapes that situation, his struggle is over. Mental/emotional, he's still got something to motivate him.
And I just really don't see him as anything but depressed. Which is still mentally unwell, technically, but relatively minor. I think is plenty, when coupled with his past, to explain everything he's done, he doesn't need psychosis on top of that. And i'm not saying that out of some ableist type of thinking, i just don't see it on the page, is all. He's had a couple episodes in particularly stressful situations, most notably the end of Agent of Asgard, but that seems to have been a temporary break. I don't think it was ever more than a passing thing, or it was more comic book type representations of inner thoughts. Depression can also be fixed, or at least managed, a more easily than more severe mental illness, so it will be easier for him to get better or push past the bad thoughts. I also think him being actually delusional would be too much of a handwave to excuse away his actions. I think he has to take responsibility for the things he's done, not just brush it aside with an insanity plea.
And I don't think he will be spending the entire series in Laufey's gut. Laufey is missing from the bad guys lineup in later issues of the series solicits, and
issue 3 is the one with the Loki variant cover. So I think he will get out before the end, possibly as soon as the next issue. I don't think it will be him escaping right at the finale, they just can't mention his part in the solicits because it would be a spoiler. With the new information gained with the latest issues, I suspect he will end up with Thor etc. in Jotunheim, and then they go back to Midgard at the finale. It's actually a really good group to be the ones to rescue him. (and Thor, of course) Besides Thor being there, there's also his latest teamup buddy, Wolverine, and Spider-Man who, well it was a terrible issue but he did still
think Loki had just repaid a favor for him... as for the rest, i think Cap, Iron Fist and Luke Cage are probably among the best ones to be there, likely to give him a chance.