In My perception only "im Urlaub" is commonly in use. The opposite two variants may very well be legit. But I do not know anyone saying "in Urlaub" and I might say "auf Urlaub" is just slang. "In Urlaub" as in by now staying there, looks absolutely Mistaken in Upper-Austrian, https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/