wir sind im Urlaub - An Overview
In my notion only "im Urlaub" is usually in use. One other two variants may very well 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 already staying there, looks completely Erroneous in Upper-Austrian, but I do not know about the Germans. I have also heard of "auf Urlaub