Uhm, just to be clear, each What If…? episode takes place in its own timeline. The series isn’t in a single continuous alternate timeline. The MCU timeline happens exactly as it did in the original up until the “What If…?” point of divergence.
In the Episode 3 timeline, Steve Rogers is Captain America, he just hasn’t been recovered yet, because the timeline diverged during the events of Iron Man 2 and Thor, before the events of The Avengers.
In the Episode 3 alternate, Nick is apparently forming a different Avengers team to take on Loki and the Asgardians. We know he’s got Captains America and Marvel. Who else would he recruit?
Loki’s takeover apparently took less than a day, and was accomplished mainly through shock and awe; SHIELD still seems to exist, and has enough organization and resources to give the fallen woulda-been Avengers individualized casket covers. So, Fury’s still probably got considerable resources.
Dr. Strange is still a few years away, and the Ancient One seems to stay pretty removed from ordinary mortal affairs. If she didn’t intervene during the initial Asgardian invasion, she probably doesn’t consider it her concern (the Asgardians are just conquering Earth, after all, not destroying it, much less all of reality). And SHIELD probably doesn’t know anything about her at this point. But maybe one of her more unruly disciples, like Karl Mordo, decides to get involved?
We actually never explicitly got Spider-Man’s origin in the MCU, we just know he was already around as of Captain America: Civil War. But this seems a bit too early for him to have gained his powers, and in the new timeline, he probably won’t.
Without Black Widow or Hawkeye, maybe Brock Rumlow fills the slot of non-powered-but-super-skilled-field-agent? If he was severely injured in Loki’s attack (facial frostbite from Loki’s use of the Casket of Ancient Winters), he might even be Crossbones already in this new timeline.
Anyone else?