It worked if I'm using numbers:
searchCriteria[filter_groups][customer_sales_order][filters][0][field]=customer_id&searchCriteria[filter_groups][customer_sales_order][filters][0][condition_type]=in &searchCriteria[filter_groups][customer_sales_order][filters][0][value]=2,3
It worked if I used one of the string values:
rest/V1/orders?searchCriteria[filterGroups][upd_sales_order][filters][0][field]=updated_at&searchCriteria[filterGroups][upd_sales_order][filters][0][value]=2016-01-26&searchCriteria[filterGroups][upd_sales_order][filters][0][conditionType]=gteq&searchCriteria[filterGroups][upd_sales_order][filters][1][field]=state&searchCriteria[filterGroups][upd_sales_order][filters][1][value]=canceled&searchCriteria[filterGroups][upd_sales_order][filters][1][conditionType]=in
But it didn't work (return 0 rows when there are rows meet the condition) if I put them in a comma-separated list:
rest/V1/orders?searchCriteria[filterGroups][upd_sales_order][filters][0][field]=updated_at&searchCriteria[filterGroups][upd_sales_order][filters][0][value]=2016-01-26&searchCriteria[filterGroups][upd_sales_order][filters][0][conditionType]=gteq&searchCriteria[filterGroups][upd_sales_order][filters][1][field]=state&searchCriteria[filterGroups][upd_sales_order][filters][1][value]=canceled,holded&searchCriteria[filterGroups][upd_sales_order][filters][1][conditionType]=in
I also tried adding single, double quote, with and without encoding; all return 0 rows:
rest/V1/orders?searchCriteria[filterGroups][upd_sales_order][filters][0][field]=updated_at&searchCriteria[filterGroups][upd_sales_order][filters][0][value]=2016-01-26&searchCriteria[filterGroups][upd_sales_order][filters][0][conditionType]=gteq&searchCriteria[filterGroups][upd_sales_order][filters][1][field]=state&searchCriteria[filterGroups][upd_sales_order][filters][1][value]='canceled','holded'&searchCriteria[filterGroups][upd_sales_order][filters][1][conditionType]=in
searchCriteria[filterGroups][upd_sales_order][filters][0][field]=updated_at&searchCriteria[filterGroups][upd_sales_order][filters][0][value]=2016-01-26&searchCriteria[filterGroups][upd_sales_order][filters][0][conditionType]=gteq&searchCriteria[filterGroups][upd_sales_order][filters][1][field]=state&searchCriteria[filterGroups][upd_sales_order][filters][1][value]="canceled","holded"&searchCriteria[filterGroups][upd_sales_order][filters][1][conditionType]=in
searchCriteria[filterGroups][upd_sales_order][filters][0][field]=updated_at&searchCriteria[filterGroups][upd_sales_order][filters][0][value]=2016-01-26&searchCriteria[filterGroups][upd_sales_order][filters][0][conditionType]=gteq&searchCriteria[filterGroups][upd_sales_order][filters][1][field]=state&searchCriteria[filterGroups][upd_sales_order][filters][1][value]=%22canceled%22,%22holded%22&searchCriteria[filterGroups][upd_sales_order][filters][1][conditionType]=in
