'Walking in the air' is a song about a little boy and a snowman who fly off to the North Pole. It isn't possible to 'walk in the air', but nor are many things you see in children's cartoons.
'Walking on air' is an idiom meaning to feel happy. You're so happy about something - a piece of wonderful news, perhaps - that it feels as though your feet aren't touching the ground. This isn't possible either, but it describes the sensation.