A TV show that is currently being shown is "on the air".

This might mean that new episodes of the show are being made and shown regularly. TV shows that have been canceled are not considered "on the air":

My friends and I would get together to watch Seinfeld every week back when it was on the air.

Or it might mean that the show is playing right now. So a news reporter might say to someone that she's interviewing:

You're on the air with Channel 11 News.