Anyway, this popped into my head:
Mortal: You two are related how?
God One: His mother is my father.
*Mortal has look of total incomprehension*
God One: (to God Two:) What did I say?
God Two: Some mortals have difficulty comprehending the ways of the gods.
*God One has look of confusion, then*
God One: Ohhhh. (To mortal:) What I meant to say was--
God Two: Don't even try; it's too late now.
Note that if this were Loki's kids it would probably have to be two of Loki's sons (the horse and the snake) and it would need to be switched to "His father is my mother" because the serpent has to be god two on account of spending a lot of time in Midgard (check the name) and thus being wise to the ways of mortals while the horse lives amoungst the gods and thus doesn't see why it would be confusing that one person's father could be another person's mother.
And honestly, now that I've written that, I'm not sure that it wasn't, "His father is my mother," to begin with (with the current state being a result of jumbling in the time between thought and text.)
Regardless, I think the exchange works best with gods that can pass as human, which (as far as I know) the horse and the snake can not. (Though other-Loki did make the serpent pass as a cat once.)