In My notion only "im Urlaub" is commonly in use. The other two variants could possibly be legit. But I do not know any individual expressing "in Urlaub" and I would say "auf Urlaub" is simply slang. "In Urlaub" as in presently getting there, would seem fully Erroneous in Upper-Austrian, https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/