How changing link of thumbnail

There are no filters for this but you can create a custom template part in your theme that does this.

Open up your theme and create a folder called parts. Within that create a file called wp-instagram-widget.php. Then add the following code:

echo '<li class="'. $liclass .'"><a href="https://mylink.com" target="'. esc_attr( $target ) .'" class="'. $aclass .'"><img src="'. esc_url( $item[$size] ) .'" alt="'. esc_attr( $item['description'] ) .'" title="'. esc_attr( $item['description'] ).'" class="'. $imgclass .'"/></a></li>';

That should do it!

Thank you for your prompt reply.
As I dont want to be be dependent of themes and not include my additionnal files, I finally choose to insert a small JS script in the wp_footer hook of my customizing plugin :
var link = document.querySelectorAll(“.instagram-pics a”);
for (var i = 0; i < link.length; i++) {
link[i].setAttribute(‘href’, ‘my-new-link’);
}
It seems OK.
Thanks for your help.