In my perception only "im Urlaub" is usually in use. The opposite two variants could be legit. But I do not know any individual stating "in Urlaub" and I'd personally say "auf Urlaub" is simply slang. "In Urlaub" as in previously becoming there, would seem entirely wrong in Higher-Austrian, but https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/