Both are correct and there is a subtle difference. "In my mind" means the thoughts that are already inside the mind literally. Action already stored. "on my mind" means that you are thinking about it. You are in the process of storing.

on my mind

They are both correct but we only say the first one. However, we do say 'in the back of my mind'. 'There is always something in the back of my mind when he speaks,telling me not to believe him'.