Hey @ayush_yadav - thanks for reaching out 
This is a known limitation at the moment: Feature Request: Pass ui_locales to external OIDC identity provider in New Customer Accounts
You’re right though that the locale is present in the first two requests but gets dropped when Shopify redirects to the external IDP. There’s no workaround for this at the moment unfortunately, since the external IDP can only fall back to the browser’s Accept-Language header.
I definitely understand it’s not ideal for multi-language stores though.
I’ve logged this as a feature request on our end, can’t guarantee anything in terms of timelines, but your feedback here helps reinforce the need for sure.
Let me know if I can clarify anything on our end here and thanks again for reaching out, it’s really appreciated!