***** NOT A TEACHER *****
(1) May I just add a note to 5jj's and Soothing Dave's answers.
(2) I feel the pain of my fellow learners regarding the use of "correct" prepositions.
(3) For those learners who care about this, I wish to report the following:
(a) I check the Los Angeles Times (which is -- supposedly -- one of the
better American newspapers) quite frequently to see whether it is using
"in" or "on" an episode. (Yes, I know how pitiful I am!)
(b) I recently checked a week's worth of copies. The writer consistently used "in"
an episode.
(c) Then, today, the TV listings consistently used "on" an episode.
(4) Therefore, my dear fellow learners, it seems that the "correct" preposition
depends who is writing the TV listings for that particular day.
(5) In summary, I most respectfully suggest that:
(a) Probably "in" now seems the most natural.
(b) 99% of native speakers could not care less. Their attitude would be:
Whatever! Who cares!