In my notion only "im Urlaub" is often in use. One other two variants could be legit. But I don't know anyone stating "in Urlaub" and I'd say "auf Urlaub" is just slang. "In Urlaub" as in currently becoming there, seems completely wrong in Higher-Austrian, but I do not learn https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/