The Drell-Yan (DY) process of dilepton pair production off nuclei is not affected by final state interactions, energy loss or absorption. A detailed phenomenological study of this process is thus convenient for investigation of the onset of initial-state effects in proton-nucleus (pA) collisions. In this paper, we present a comprehensive analysis of the DY process in pA interactions at RHIC and LHC energies in the color dipole framework. We analyse several effects affecting the nuclear suppression, RpA < 1, of dilepton pairs, such as the saturation effects, restrictions imposed by energy conservation (the initial-state effective energy loss) and the gluon shadowing, as a function of the rapidity, invariant mass of dileptons and their transverse momenta pT . In this analysis, we take into account besides the γ * also the Z 0 contribution to the production cross section, thus extending the predictions to large dilepton invariant masses. Besides the nuclear attenuation of produced dileptons at large energies and forward rapidities emerging due to the onset of shadowing effects, we predict a strong suppression at large pT , dilepton invariant masses and Feynman xF caused by the Initial State Interaction effects in kinematic regions where no shadowing is expected. The manifestations of nuclear effects are investigated also in terms of the correlation function in azimuthal angle between the dilepton pair and a forward pion ∆φ for different energies, dilepton rapidites and invariant dilepton masses. We predict that the characteristic double-peak structure of the correlation function around ∆φ ≃ π arises for very forward pions and large-mass dilepton pairs.