In my perception only "im Urlaub" is usually in use. Another two variants may very well be legit. But I don't know any person saying "in Urlaub" and I would say "auf Urlaub" is just slang. "In Urlaub" as in currently currently being there, appears to be totally Erroneous in https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/