To me there is a subtle difference between the first two:
#1 means that at whatever time you are referring to he will be undergoing the interview itself.
#2 means that at whatever time you are referring to he will be at the place where the interview/s is/are to be held. It's a little vague - he could be waiting to be interviewed, or actually undergoing it.
#3 to me, is not idiomatic. I wouldn't say 'on an interview'.
After some digging, I found this in NY Times:
"''I haven't been on an interview in probably nine months,'' he said. 'I'm beginning to see that I have to get out there and sell myself. I'm going to get names of people behind the scenes.'"
Probably not, it is in quotes and thus exactly what he said. Why he said it that way is another matter. Your example, "He will be on a job interview." sounds to me almost as if "he" will be interviewing someone, rather than the other way around. (But is still doesn't sound right.)
The NYT construction is, "I haven't been on..." [= haven't attended] follows the style of "I have been on many training courses/jobs like this/journeys..." It seems to imply continual action and that a lot of time has been spent (days/weeks/months) on something, yet this would not be so for an interview.
A: "What a beautiful model ship! Such detail!"
B: "Thank you, I spent seven years on making that"
"Been on a job interview" is a common and colloquial way to say that you have gone somewhere for the purpose of being interviewed by someone who might give you a job. At least it is in American English. We might also say "went on a job interview", with approximately the same meaning.