The universities of Cambridge and Oxford are rather peculiar in the British education system, in that they are associations of independent colleges, rather than unified bodies. This may be why the preposition in was used, rather than at. However, writing styles change over the years. Also, it may just have been the author's preference, rather than a matter of convention. You are right, though: today, at would be used for any university, including Oxford and Cambridge.
Note, however, that we still (sometimes) use the term "going up to Cambridge/Oxford, and being "sent down" if you are expelled for bad behaviour. The only explanation for this that I am familiar with is that you travelled to Oxford/Cambridge from London on an "up train", and returned to London on a "down train" (both common terms in the past, but out of use today).