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According to Ngram Viewer, they are all common, except in a job interview is even more so. I wonder if there is any nuance of meaning between the three. For example:

I am really afraid of screwing up in a job interview.

I am really afraid of screwing up on a job interview.

I am really afraid of screwing up at a job interview.

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Funnily enough, I would say that there was no difference in meaning between the three examples that you gave, though in slightly different circumstances there are indeed minor differences:

I am in a job interview implies that the interview is actively taking place.

I am on a job interview today implies that the narrator is a about to take part in an interview, but it hasn't started yet, and they may not even have left for it.

I am at a job interview also implies that the narrator is about to have an interview, but also that they have arrived at the location.

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