We obtain prompt di-photon cross-section in proton-nucleus collisions in Hamiltonian light-cone approach within a hybrid approximation, treating the projectile proton in the parton model and the target nucleus in the Color-Glass-Condensate approach. We study in details the di-photon correlations in quark-nucleus and proton-nucleus collisions at RHIC and the LHC. We show that the single fragmentation di-photon produces the away side correlations peak, and the double fragmentation component of prompt di-photon is responsible for the near-side peak, and the long-range in rapidity near-side azimuthal collimation, the so-called "ridge" structure. We study the transverse momentum, density and energy dependence of the di-photon ridge and show that it strongly depends on the kinematics and saturation dynamics. We show that while di-photon ridge exists at the LHC in quark-nucleus collisions, the effect disappears in proton-nucleus collisions at the LHC. At RHIC the ridge-type structure persists at low transverse momenta of di-photon even in proton-nucleus collisions. We argue that di-photon correlation measurments in p+A collisions can help to discriminate among models and understand the true origin of the observed di-hadron ridge in p+A collisions. We also show that in addition to the ridge structure, prompt di-photon correlation also exhibits some distinct novel features, including the emergence of away side double-peak structure at intermediate transverse momenta.