Prompted by the title of this question and a couple of comments on it, I'm minded to think there that many "states of being" that you can be "on", as in...
on fire, on holiday, on guard, on the blink (intermittently faulty), etc.
Sometimes we just use [verb]ing to generate an appropriate word (holidaying, guarding, resting, etc.)
Or different prepositions (in purdah, at play, under suspicion, etc.)
Is there a (even partially-applied) rule indicating when on should be used?
Just to muddy the waters a bit (or maybe it'll inspire someone to see the rule, I dunno). You're at lunch, but on your lunch-break.
By way of one final 'tickle', I wonder if the difference between in retreat and on retreat will spark a line of thinking in someone ("in..." meaning "running away", whereas "on..." probably implies you're spending some time at a monastery or similar).