"The doctor is with a patient." "The doctor is consulting with a patient." My last choice would be "The doctor is in consultation with a patient" because I don't like using big complicated words for no reason. There are some unusual situations where "on" might be better. For example, if the doctor has left the office to visit a sick patient somewhere else, I might say he was "on consultation".

"The doctor is in a consultation with a patient" sounds more natural to me. I'd add the article "a" before "consultation."