in (the most popular answer?!) is not possible here.
Think of check in as a phrasal verb, where the particle in is a necessary part of the verb.
This phrasal verb is intransitive, which means that it cannot use a direct object (e.g. the hotel).
*We checked in the hotel.
So, to say where we checked in, we have to use a prepositional phrase, such as to the hotel or at the hotel.
We checked in at the hotel.
We checked in to the hotel.
Whether into is correct is another matter (I would argue that it is), but we can be certain that in is not correct here, even if some people say it.