I recognize it, because I remember reading it, and have it in a trade paperback. It’s from a New Mutants special, circa 1986, and drawn by Arthur Adams (who also drew the X-Men annual that contained the other half of the “Asgardian Wars” story). The blonde doing the torturing is the Enchantress, one of Thor’s main villains.
And, in answer to Chronos’s question, the character being tortured is Illyana Rasputin (Colossus’s little sister, a.k.a. Magik). At that time, she was a teenager, 16 years old or so. Part of her backstory is that, when she was 6, she was kidnapped by the sorcerer Belasco and taken off to the pocket dimension of Limbo, where he trained her in dark magic for a decade. After ten years in Limbo, she defeated Belasco and returned to Earth, though little or no time had passed on Earth (so, to her brother and others, she had effectively aged 10 years in an instant). While bad things had happened to her in Limbo, I don’t think there was ever any intimation that she had lost her virginity there (willingly or otherwise), it being the 1980s, and the X-titles being Comics Code compliant.