First off, keep in mind that they can jump OoS and instant throw the nana back at you, so watch for that. Instant throw their instant throw back at them again.
Just mix things up. I've noticed running up and shielding is usually a free shield grab since people will almost always try to hit you. Just don't do the same thing every time. Roll behind them, shield, throw another nana, or just don't do anything.
If you're repetitive in how you go about it, your opponent might notice and punish you for it, which is probably what was happening to you. They knew you were going to try and grab them immediately after you threw a banana at them, so they saw it coming.
@tekkie
If you're going to instant throw them, make sure you're in a position where it will hit your opponent, or else yes, you will be in an awkward position.
If they're not gonna get hit with hit, just z-catch it and land back on the ground. If they're right next to you, try to air dodge to get it if you need to. Just remember you don't NEED the banana and dealing with your opponent first if they're nearby might be a better option.