Prompt photons produced in a hard reaction are not accompanied with any final state interaction, either energy loss or absorption. Therefore, besides the Cronin enhancement at medium transverse momenta pT and small isotopic corrections at larger pT, one should not expect any nuclear effects. However, data from PHENIX experiment exhibit a significant large-pT suppression in central d+Au and Au+Au collisions that cannot be accompanied by coherent phenomena. We demonstrate that such an unexpected result is subject to the energy sharing problem near the kinematic limit and is universally induced by multiple initial state interactions. We describe production of photons in the color dipole approach and find a good agreement with available data in p+p collisions. Besides explanation of large-pT nuclear suppression at RHIC we present for the first time predictions for expected nuclear effects also in the LHC energy range at different rapidities. We include and analyze also a contribution of gluon shadowing as a leading twist shadowing correction modifying nuclear effects at small and medium pT.