As a non-native speaker, over the radio makes sense to me because in that case the radio is the medium that carries your speech. It's "in" English because that's the "encoding" of your message. You would then transmit it possibly on a vehicle at some physical location.
so... HTTP over TCP over IP sounds most natural to me, though I guess HTTP on TCP works too.
Of course they sorta make sense, people wouldn't use completely bogus prepositions (at least mostly wouldn't). They're still arbitrary, though: why is it not ‘with English’ and ‘with radio,’ since both denote usage? And, as previously said, other languages have chosen different prepositions: e.g. in Russian, both happen to use ‘по’, which means something like ‘sliding along’ or ‘moving on.’
so... HTTP over TCP over IP sounds most natural to me, though I guess HTTP on TCP works too.