In My notion only "im Urlaub" is often in use. Another two variants could possibly be legit. But I don't know any one declaring "in Urlaub" and I would say "auf Urlaub" is just slang. "In Urlaub" as in by now getting there, appears to be fully Incorrect in Higher-Austrian, https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/