In my perception only "im Urlaub" is usually in use. One other two variants may very well be legit. But I do not know anyone indicating "in Urlaub" and I'd say "auf Urlaub" is simply slang. "In Urlaub" as in presently being there, would seem fully Incorrect in Higher-Austrian, but https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/