It's been done, many times before. A film's title is changed for shooting to keep prying eyes away from the sensitive/spoiler content of the film. According to Production Weekly, Marvel has chosen shooting names for their upcoming films, Thor & First Avenger: Captain America. Thor's filming title will be "Manhattan", while Captain America's title will be "Frostbite". Remember, Iron Man 2's shooting title was "Rasputin".
Thor will begin shooting in early January, while Captain America is scheduled to start shooting in June.