Imagine Alternate Loki replaced the Loki we thought killed.Not only that, but even after Thanos killed him, Thor outright tells us that he expects his brother will cheat death somehow. We are set up to expect to see him again in some way, shape, or form.
So since the original Loki wasn't killed him being alive isn't a paradox after all Thanos travelled from the past and was clicked out of existence by Iron Man instead of being beheaded by Thor.
As it is because he's actually a parallel double of himself the TVA can hunt him because he is a paradox as unlikely as it would be for him to rescue himself doing so should remove him off the TVA's radar.
From what I've heard
he isn't the only Loki to do so
I'm hoping its a great series.