In My perception only "im Urlaub" is usually in use. One other two variants may be legit. But I do not know any person saying "in Urlaub" and I'd personally say "auf Urlaub" is just slang. "In Urlaub" as in now currently being there, seems wholly Erroneous in Upper-Austrian, but https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/