In my notion only "im Urlaub" is commonly in use. The other two variants may very well be legit. But I don't know anybody expressing "in Urlaub" and I'd say "auf Urlaub" is simply slang. "In Urlaub" as in presently being there, would seem entirely Completely wrong in Upper-Austrian, but https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/