I'm getting this message with JSONP:
Cross-Origin Read Blocking (CORB) blocked cross-origin response https://api.instagram.com/oembed/?url=https%3A%2F%2Fwww.instagram.com%2Fp%2Flgg4N5Q5rh&format=json&maxwidth=500&embed=widget&width=1 with MIME type application/json. See https://www.chromestatus.com/feature/5629709824032768 for more details.
and without JSONP:
"Access to XMLHttpRequest at 'https://api.instagram.com/oembed/?url=https%3A%2F%2Fwww.instagram.com%2Fp%2Flgg4N5Q5rh&format=json&maxwidth=500&embed=widget&width=1' from origin 'https://fiddle.jshell.net' has been blocked by CORS policy: No 'Access-Control-Allow-Origin' header is present on the requested resource."
Here is my jsfiddle
You can see that there is data if we open the url in a browser https://api.instagram.com/oembed/?url=https%3A%2F%2Fwww.instagram.com%2Fp%2Flgg4N5Q5rh&format=json&maxwidth=500&embed=widget&width=1
