In general, 'at' is used to describe a location in relation to the rest of the word and 'in' and 'on' are used to describe something relative to the location itself.
So if you're thinking of places as points on a railway line, for example, you might use at.
The train will arrive at Liverpool Lime Street at 13:07.
But if you're thinking about the city itself, rather than just a location on a map, you would probably use in.
We'll arrive in Liverpool on Tuesday.
Although, to be honest, native speakers rarely use the verb arrive in these contextw. We tend to say 'get to'. This simplifies it as we don't need to think about the preposition.
Also, for islands, technically it should be 'on' rather than 'in'. But you will also here 'in' for large islands - especially if they're also the name of a country.
So generally you will use in/on when saying you're going to arrive somewhere, but you might use at if you're describing the place as a point on a longer journey. Or if you're a native speaker, you will almost certainly use get to.