In my perception only "im Urlaub" is usually in use. The other two variants may very well be legit. But I don't know any one saying "in Urlaub" and I'd personally say "auf Urlaub" is simply slang. Abide by combined with the video underneath to view how to put in https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/