Just because you don't own the copyrights of the images used to create a collage, doesn't mean you don't have copyright on the collage itself (and on any written captions, etc, you've included in your collage). Such a creative work is called a "derivative work" (https://www.copyright.gov/circs/circ14.pdf) and depending on how much originality it contains (i.e., how different it is from the pieces that make up the collage) you absolutely have copyright on derivative works you have created.
Of course, if your collage is mostly similar to the original work then it won't rise to the level of derivative work. It needs to substantially deviate from the original works included in the collage to be copyrightable. Whether the images you used are yours or not doesn't actually matter. What matters is if the work is a "new" creation, even if it uses source material that is not yours.
Also, crediting the original creators is irrelevant unless they have told you that credit is sufficient to use their copyrighted work.
So, depending on how original your collages are, you can pursue a copyright claim against someone who is copying your collages and captions. I don't see any reason not to report it to IG if someone is stealing your work. Of course, if you're just slapping a caption on a picture from a magazine, then there's not much you can do.
