Perhaps Loki is a skinwalker in the DV? (He's certainly depicted as an insanely powerful shapeshifter in the legends -- sufficiently skilled that he turned into a female animal, got pregnant, and gave birth.)
Goodman Grey might either be Odin's pseudo-grandson via his father Loki, or he might actually *be* Loki, or a persona/mask thereof. (i.e. Grey is to Loki, as Vadderung is to Odin)