'in' = inside, maybe in a small tunnel or cave.
They caught some bees on the hill.
'on' = on the surface of the hill, so this likely would be the most common.
They caught some bees at the hill.
'at' = at the location so this one might be used if "the hill" was a commonly known name for a particular place.
They caught some bees of the hill.
This one doesn't make any sense to me.
Student or Learner