Midgårdsormen makes me cringe. That is not English, I'm not talking the word, it uses non-English grammar, it has an -en ending. Also the formatting on the Å is wonky as all hell.
Jormungandr works just fine, failing that, Midgard Serpent. The use of Norwegian/Danish/Whatever does not work in this instance. It is only cumbersome, and cringe as a native speaker.