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He's taunting her, calling her a god when she is a servant of one. This suggest that Caius is no slave of a god, considering he's able to travel away from Valhalla.
As you can see at her armor, Lightning seems to have completely "transformed" into Odin, character wise, she really IS Odin herself now, and Odin always was a kind of Warrior God. That also is a nice excuse for making Odin transform into a horse.
i think that to that she have a close conection to odin
she can still summon odin