In east asia mythology, there were 4 types of azure dragons.
East Sea Dragon: Presided over rainfall, floods, and tides.
South Sea Dragon: Presided over lightning and fires.
West Sea Dragon: Presided over weather changes and wind sources.
North Sea Dragon: Presided over snowfall, hail, and freezing.
Oda already showed us 3 of those 4 (not sure if I'm misses one) which are the Dragon, fishman island's Palace, and Kaido.
Dragon is
west sea dragon because his power is related to wind.
Fishman Island's Palace is
east sea dragon because it's well...(underwater).
Kaido is
south sea dragon because he breathes fire.
Missing a one for
north sea dragon.
Since Dragon can creates gust of wind and also bring storm (changing weather), just like south sea dragon, but he cannot create floods and tides like east sea dragon which is reserved for fishman island's Palace. Dragon can make rain too like east sea dragon, so maybe there a change up from Oda. I don't know. Loki and Ragnir could be north sea dragon which can make snowfall and freezing like what we have seen, and lightning too which Kaido cannot create.