To say that you "study in school" would be to imply that you study as a student in general. Here in the US, saying "I'm in school" is often used to convey that someone is enrolled in a school, although it can also mean that they're currently at the school itself. If someone says that they "study at school" they're more likely to be saying that they study at the physical location of the school. Unfortunately, context can change the meaning of either of these, but those are the most likely reasons someone would say either of them.