Had the same issue today. To get the custom data passed between requests you must include it as state
param. My authorize request url looked something like this:
https://www.instagram.com/oauth/authorize?client_id=SOME_CLIENT_ID&response_type=code&redirect_uri=http://example.com/auth/InstagramRedirect/&state=855C0114-F860-420A-AEB1-A276644FCCEA
Notice the & and state=...