In my perception only "im Urlaub" is usually in use. One other two variants may very well be legit. But I do not know any person declaring "in Urlaub" and I'd say "auf Urlaub" is just slang. "In Urlaub" as in presently currently being there, would seem totally Erroneous in https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/