It would be "floating in the air". This is because the air isn't something you can be "on" as it is not a solid, or dense enough to float on, like water. Water is sort of an exception, as you can technically float "in" and "on" the water. If you went scuba diving, you could say you were floating "in" the water, but if you went swimming in a pool you can also float "on" the water.