[Terenna]

I just use PLAYER_ENTERING_WORLD. always fires, there's no event specific for loading into an instance, so if you only want something while in an instance, you have to do IsInInstance()

edit: here's some relevant code I use for a minimap addon that shows various texts based on instance difficulty:

--This block of code controls the text in the bottom right of the minimap that confers to the difficulty you're currently on
local tMinimapDifficultyTextFrame = CreateFrame('frame', nil, Minimap)
tMinimapDifficultyTextFrame:SetSize(24, 12)
tMinimapDifficultyTextFrame:SetPoint('BOTTOMRIGHT', Minimap, 'BOTTOMRIGHT', -1, 1)
tMinimapDifficultyTextFrame:RegisterEvent('PLAYER_ENTERING_WORLD')
tMinimapDifficultyTextFrame:RegisterEvent('CHALLENGE_MODE_START')
tMinimapDifficultyTextFrame:RegisterEvent('CHALLENGE_MODE_COMPLETED')
tMinimapDifficultyTextFrame:RegisterEvent('CHALLENGE_MODE_RESET')
tMinimapDifficultyTextFrame:RegisterEvent('PLAYER_DIFFICULTY_CHANGED')
tMinimapDifficultyTextFrame:RegisterEvent('GUILD_PARTY_STATE_UPDATED')
 
local instanceDifficultyTable = {
    [1]     = '5N',
    [2]     = '5H',
    [3]     = '10',
    [4]     = '25',
    [5]     = '10H',
    [6]     = '25H',
    [7]     = 'LFR',
    [8]     = 'M+',
    [9]     = '40',
    [11]    = 'HS',
    [12]    = 'NS',
    [14]    = 'N',
    [15]    = 'H',
    [16]    = 'M',
    [17]    = 'LFR',
    [23]    = '5M',
    [24]    = 'TW',
    [33]    = 'TW',
    [38]    = 'N',
    [39]    = 'H',
    [40]    = 'M',
    [147]   = 'WF'
}
 
tMinimapDifficultyTextFrame.text = tMinimapDifficultyTextFrame:CreateFontString(nil, 'OVERLAY')
tMinimapDifficultyTextFrame.text:SetPoint('BOTTOMRIGHT', tMinimapDifficultyTextFrame, 'BOTTOMRIGHT')
tMinimapDifficultyTextFrame.text:SetFont('Interface\\AddOns\\tMinimap\\Font.ttf', 12, 'THINOUTLINE')
tMinimapDifficultyTextFrame.text:SetJustifyH('RIGHT')
tMinimapDifficultyTextFrame.text:SetTextColor(1, 1, 1, 1)
tMinimapDifficultyTextFrame:SetScript('OnEvent', function(self, event, isGuildGroup)
    local _, _, instanceDifficulty, _, _, _, _, _, numPlayers = GetInstanceInfo()
    local mythicPlusDifficulty = C_ChallengeMode.GetActiveKeystoneInfo() or ''
    local text = instanceDifficultyTable[instanceDifficulty] or ''
 
    if (isGuildGroup and type(isGuildGroup) == boolean) then --this argument can be a number when you start mythic plus for some reason
        text = 'G'..text
    end
 
    if numPlayers < 6 then
        numPlayers = ''
    end
 
    if mythicPlusDifficulty < 1 then
        mythicPlusDifficulty = ''
    end
 
    if IsInInstance() then --hack to fix a weird bug where if you get to your WoD garrison, it says you're in in a 5N zone, but also says that all of shadowmoon/frostfire ridge is also a 5N zone until you leave that zone; this is probably related to garrison invasions
        tMinimapDifficultyTextFrame.text:SetText(text..numPlayers..mythicPlusDifficulty)
        tMinimapDifficultyTextFrame.text:Show()
    else
        tMinimapDifficultyTextFrame.text:Hide()
    end
end)