The proper term for this would be "conjoined triplets," and although it is extremely rare, cases have been reported.

 The "Phreequeshow" web site has some information on this topic.

"Can conjoined triplets (or higher multiples) exist?

http://www.phreeque.com/conjoined_twins.html

"Dr. Rowena Spencer's 2003 book Conjoined Twins: Developmental Malformations and Clinical Implications discusses several cases of supposed conjoined triplets and quadruplets, most of which consist of one autosite with a number of parasites or acardiac twins (see above). However, a 2004 article in The American Journal of Obstetrics and Gynecology describes a case of parapagus dicephalus dibrachius dipus twins with triplet joined to the shared sternum, in the manner of xiphopagus twins. All three fetuses were well-formed and had approximately normal heads and extremities. This article provides conclusive proof that conjoined triplets, although extremely uncommon, can occur."

The National Center for Biotechnology Information web site has more on this subject.

"A unique case of conjoined triplets."

http://www.ncbi.nlm.nih.gov/entrez/query.fcgi?cmd=Retrieve&db=PubMed&list_uids=15970906&dopt=Abstract

 "A unique case of conjoined triplets that was characterized as tricephalus, tetrabrachius, and tetrapus parapagothoracopagus is presented. Antenatal diagnosis of the conjoined triplet was made at 22 weeks of gestation with 2-dimensional ultrasonography and magnetic resonance imaging. Pregnancy was terminated by hysterotomy, and diagnosis of conjoined triplets was confirmed postnatally."