In My notion only "im Urlaub" is often in use. The opposite two variants may very well be legit. But I do not know anybody stating "in Urlaub" and I might say "auf Urlaub" is simply slang. "In Urlaub" as in currently staying there, appears absolutely Erroneous in Higher-Austrian, but https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/