In My notion only "im Urlaub" is usually in use. The opposite two variants may be legit. But I do not know any person saying "in Urlaub" and I might say "auf Urlaub" is just slang. Observe along with the online video beneath to check out how to put in https://bihlmayermedia-bilder.com/urlaub/wir-sind-im-urlaub/