Both phrases are acceptable. The slight difference depends on a previous context.
"In" describes membership while "Under" describes protection, probably from a common phrase such as "Under(neath) an umbrella".
Q. Is Bob in the Blue State plan? Is Bob a member of the Blue State plan?
A. No. Bob is in another plan. He is a member of the Majors State plan.
Q. Does Bob's plan provide free manicures?
A. No. He is under another plan. His plan does not provide that protection coverage.
Q. Did Tim enroll in the same plan as Bob?
A. No. He is enrolled in another plan.
Q. Does Bob get free eye screening like Mary gets with her plan?
A. No. He in enrolled under another plan. He does not get that service.