In situations like this, it is always appropriate to use with.
Do you have your car with you?
Do you have your computer with you?
Do you have your pen with you?
If the item is small- a pen, a wallet or a phone that can be placed in a pocket, so that you are effectively wearing it, you can also use on. The Cambridge Dictionary, in the entry for POSSESSION, also includes items that are in a bag that you are carrying.
Do you have a pen on you?
in means inside, so you can't really say in you. You can only really use it if you specify what it's inside:
Do you have your phone in your bag?
Do you have your wallet in your pocket?
Because you have to specify where the object might be, this option is not particularly useful- except perhaps to make suggestions about something that the person has mislaid.