I did a Google search for both, and there are 40,000,000 hits for "case study of" and 107,000,000 hits for "case study on", so it seems like both are acceptable and reasonably common and grammatically acceptable. However, there is an article on NCBI (National Center for Biotechnology Information) with this phrasing: "A case study on the choice, interpretation and checking of multilevel models for longitudinal binary outcomes." (https://www.ncbi.nlm.nih.gov/pubmed/12933632) So it seems like "on" is the safer choice.

As a native speaker, I want to say that "on" sounds more correct. However, the preposition you choose could be determined by the purpose of the study. "Of" is used when you want to find out more about something through discussion. "On" is used when you want to explore HOW something works.