In My notion only "im Urlaub" is commonly in use. The other two variants might be legit. But I do not know any person saying "in Urlaub" and I might say "auf Urlaub" is just slang. "In Urlaub" as in by now staying there, appears wholly Erroneous in Upper-Austrian, but https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/