Custom Taxonomy template not display

There are a couple of different solutions if you want to have only the /holliday/project-location/ URL and not separate archive and taxonomy URLs.

Option 1:

Use the template_include() filter. I think this code would work but have not tested:

add_filter( 'template_include', 'holliday_template', 99 );

function holliday_template( $template ) {

    if ( is_post_type_archive( 'holliday' )  ) {
        $new_template = locate_template( array( 'taxonomy-my_project_location.php' ) );
        if ( '' != $new_template ) {
            return $new_template;
        }
    }

    return $template;
}

Option 2 (even simpler):

Tell WP not to give your holliday CPT an archive. When you register the post type, just change 'has_archive' => true, to false. That way, when WP looks for content at your desired URL, only the taxonomy archive exists. You will most likely need to use unregister_post_type() and re-register it to force the change.