Does a pedestrian walk 'in' the road, or 'on' the road (both are correct, but which is right?)

Having a bit of a debate about this with some foreign colleagues of mine.

I've always used the phrase 'I'm walking in the road', they think that you should say 'I'm walking on the road'..

I'm not 100% sure why I use the word 'in', but there must be a reason for it!

So... which is right?

Using the preposition in vis-à-vis " the road" normally describes an action that takes place in such a way that the normal progress of the thoroughfare might be blocked, or which calls attention to the act in progress.

Take, for example, the Beatles song "Why don't we do it in the road?" Here it means doing something (i.e., fornicating) right out there in front of everybody in such a way that people will stop and take notice. The Beatles were a British band, so that should put paid to any notion that in means something different in BrE.

To simply walk in the road means to put oneself in some danger from traffic.

He was walking in the road, officer. I didn't see him until it was too late.

Normally, to describe the simple act of using the road for pedestrian traffic alongside vehicular traffic, the prepositions up, down, or along are commonly used. They don't carry the connotation of mortal danger, though that may exist as well.

To walk on the road describes the relationship of one's feet to the road surface.

As per comments, OP's concepts of "right/correct" aren't helpful here. Lots of prepositions are valid, depending on context. Here are some estimates from Google Books for he walked xxxx the road... down:18100 along:15400 up:8020 on:7700 across:5710 into:663 over:437 in:5

I immediately recognise a problem with those figures - as a native speaker, I know perfectly well that on, for example, isn't particularly common for that particular search text. But estimates in GB are skewed according to how often various subsections of the text occur anywhere in the corpus (walked on, on the, on the road, etc.). Here are the values after scrolling through to establish how many actual instances occur...

along:123(95)
down:104(109)
up:56(77)
across:59(70)
over:20(29)
into:25(7)
on:19(16)
in:5(3)

Obviously across, over are used in the context of getting from one side of the road to the other, and into for stepping off the sidewalk on to the tarmac traffic surface. In the context of using the road to get somewhere by foot, we normally use along, down, up.

I don't think it's worth differentiating between on, in. Almost every actual instance is equivalent with either, and usually would be better replaced by along, down, up.