I use in or on Ubuntu. Never under. Under is for oppressive operating systems where the users are under lock and key, and where processes sometimes performs illegal instructions and must be placed under arrest.
Except for the connotative differences, in, on and under are all correct. But don't use under. We are over that. :)
But seriously; we refer to Ubuntu as a platform and an environment. You don't place things under a platform, but on it, and you don't place something under an environment, but in it. I see no good reason to use the word under in this context at all.