Of those,
Thor would seem the least likely to stick out in the Netherlands (or any northern European country really, I suppose).
That said, I don't think there's anything about
Santiago that should present problems for a Dutch speaker - after all, it's spelt pretty much phonetically so there's not much room for mispronunciations. And I honestly don't see that the kid's hair colour will make any difference. It's a cool name no matter who's wearing it.
Definitely
Santiago rather than
Tiago. I also love
Iago, but whilst he's a brilliant character it's not a great namesake.