In this sentence it is locative. (and if something happens or is w something you use locative case.)
Because I doubt any Pole ever would use „jestem w pracy” to mean it? „Pracuję” would work, „jestem (teraz) zatrudniony” would be the 'extra-formal' way of saying it, but most Poles I know would simply go for: „Mam pracę”(lit. 'I have work').
„Jestem w pracy” really just means 'I'm at work'.
How would you say "I'm in work" meaning at your formal place of work, as opposed to meaning that you are busy working on (at) something (such as working at home, or out on the road if you are a driver)?
"Jestem w pracy" means that you are in the workplace. "Pracuję" just means that you're working and doesn't specify it more.
Although for the driver, if he's on the road, I guess that means he's at his workplace.
„Przy pracy” denotes something different: the act of work, the act of doing one's job.
The most popular colocation is: wypadek przy pracy -> accident at work , accident related to work, work accident
Or something like this:
5 najczęstszych błędów przy pracy z Photoshopem -> 5 most frequent mistakes when one's works with Photoshop.
Asy czarnej giełdy przy pracy -> The Aces of black stock exchange [seen] as they are doing their work.
Similarly, a book „Fedegraphica: A Graphic Biography of the Genius of Roger Federer” was titled in Polish: „Roger Federer Geniusz przy pracy” -> Roger Ferered, a genious [seen] as he does his work.
Zapewnienie odpoczynków tygodniowych przy pracy na zmiany -> Assurance (?) of weekly rest periods for work performed in shifts.