In my perception only "im Urlaub" is commonly in use. One other two variants may very well be legit. But I do not know any person stating "in Urlaub" and I might say "auf Urlaub" is just slang. "In Urlaub" as in already being there, would seem wholly Completely wrong https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/