  Inclusive direct photon production in p+Pb collisions at the LHC is studied
within the NLO perturbative QCD. Our aim is to quantify the dominant $x$
regions probed at different rapidities and to identify the best conditions for
testing the nuclear gluon parton distribution functions (nPDFs) at small $x$. A
comparison to the inclusive pion production reveals that from these two
processes the photons carry more sensitivity to the small-$x$ partons and that
this sensitivity can be further increased by imposing an isolation cut for the
photon events. The details of the isolation criteria, however, seem to make
only a small difference to the studied $x$ sensitivity and have practically no
effect on the expected nuclear modifications. We consider also the yield
asymmetry between forward and backward rapidities which can be used to probe
the nPDFs irrespectively of whether an accurate p+p baseline is available.
