It sounds better to me with "on" but I think they're both ok. Amazon has a book called "Brush Up Your Shakespeare". Maybe it's one of those British English vs. American English things (I'm American)
thanks Hotdog, i've checked the books, there are books in the series called "Brush up your Shakespeare", "Brush up your Bible", "Brush up your mythology", etc.... At the same time there are books containing the name "Brush up on your writing skills"...