In my notion only "im Urlaub" is often in use. Another two variants might be legit. But I do not know any one expressing "in Urlaub" and I'd say "auf Urlaub" is just slang. Observe along with the online video under to see how to set up our website as https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/