First let's establish some trigonometric identities
$$\cos\left(\frac{\pi}{4}\right) = \frac{1}{\sqrt{2}}\,\,,\,\, \cos\left(\frac{3\pi}{4}\right) = -\frac{1}{\sqrt{2}}\,\,, \,\,\cos\left(\frac{\pi}{3}\right) = \frac{1}{2}$$, $$\cos\left(\frac{\pi}{6}\right) = \frac{\sqrt{3}}{2}\,\,, \,\,\cos\left(\frac{\pi}{12}\right) = \frac{1+\sqrt{3}}{2\sqrt{2}}\,\,, \,\,\cos\left(\frac{5\pi}{12}\right) = \frac{\sqrt{3}-1}{2\sqrt{2}}$$ From this we find that $$\left(1-\cos\left(\frac{3\pi}{4}\right)\right)\left(1-\cos\left(\frac{\pi}{12}\right)\right)\left(1-\cos\left(\frac{\pi}{3}\right)\right) = \left(\frac{\sqrt{2}+1}{\sqrt{2}}\right)\left(\frac{2\sqrt{2}-1-\sqrt{3}}{2\sqrt{2}}\right)\left(\frac{1}{2}\right)$$ $$=\frac{4-\sqrt{2}-\sqrt{6}+2\sqrt{2}-1-\sqrt{3}}{8} = \frac{3+\sqrt{2}-\sqrt{3}-\sqrt{6}}{8}$$ Also $$\left(1-\cos\left(\frac{\pi}{4}\right)\right)\left(1-\cos\left(\frac{5\pi}{12}\right)\right)\left(1-\cos\left(\frac{\pi}{6}\right)\right) = \left(\frac{\sqrt{2}-1}{\sqrt{2}}\right)\left(\frac{2\sqrt{2}+1-\sqrt{3}}{2\sqrt{2}}\right)\left(\frac{2-\sqrt{3}}{2}\right)$$ $$= \frac{3-\sqrt{2}+\sqrt{3}-\sqrt{6}}{8}\left(2-\sqrt{3}\right) = \frac{6-2\sqrt{2}+2\sqrt{3}-2\sqrt{6}-3\sqrt{3}+\sqrt{6}-3+3\sqrt{2}}{8}$$ $$= \frac{3+\sqrt{2}-\sqrt{3}-\sqrt{6}}{8}$$ Altogether, this means that $$\left(1-\cos\left(\frac{3\pi}{4}\right)\right)\left(1-\cos\left(\frac{\pi}{12}\right)\right)\left(1-\cos\left(\frac{\pi}{3}\right)\right) = \left(1-\cos\left(\frac{\pi}{4}\right)\right)\left(1-\cos\left(\frac{5\pi}{12}\right)\right)\left(1-\cos\left(\frac{\pi}{6}\right)\right)$$ Multiplying across by $8$ and then taking the square root of both sides this may be rewritten as $$\sqrt{2-2\cos\left(9.\frac{2\pi}{24}\right)}\sqrt{2-2\cos\left(\frac{2\pi}{24}\right)}\sqrt{2-2\cos\left(4.\frac{2\pi}{24}\right)} = \sqrt{2-2\cos\left(3.\frac{2\pi}{24}\right)}\sqrt{2-2\cos\left(5.\frac{2\pi}{24}\right)}\sqrt{2-2\cos\left(2.\frac{2\pi}{24}\right)}$$
Why is this relevant?
As stated in Helen's answer, the lengths of the edges of a cyclic polygon correspond to the angles between vertices and the circumcentre. In particular, if this angle is $\theta$ and the circumradius is $1$, the length of the corresponding edge is $\sqrt{2-2\cos \theta}$.
Furthermore, if the vertices coincide with the vertices of a regular polygon with $n$ sides and there are $m$ edges between the vertices then the angle at the circumcentre is $m.\frac{2\pi}{n}$.
Lastly, if $ABCDEF$ is a cyclic hexagon, then its three main diagonals are concurrent iff $$ |AB|.|CD|.|EF| = |BC|.|DE|.|FA|$$ A nice proof of this fact is provided on Maths Stack Exchange here: https://math.stackexchange.com/a/360120/314970
Putting all of that together means that
If we consider a regular icositetragon ($24$-gon) and join the vertices such that the number of edges between $AB$, $BC$, $CD$, $DE$, $EF$, $FA$ is $9, 3, 1, 5, 4, 2$ respectively, then the main diagonals of the hexagon $ABCDEF$ will be concurrent. Wikipedia has a nice picture of an icositetragon which I've played around with to check this fact:

Conclusion
Thus we have shown that the minimal $n \leq 24$. Helen has convincingly argued that the minimal $n \geq 21$. Furthermore, we can rule out the cases $21$ and $23$ because for any regular polygon with an odd number of sides no three diagonals are concurrent (considering the full set of diagonals here). This fact is noted here which they cite as a result originally due to a mathematician called Heineken.
This means that the only case to rule out is $n=22$ (an icosidigon). Wikipedia also has a nice picture of this shape with which we can play around. It is easy to determine that the number of edges between consecutive vertices of our cyclic hexagon must be $1,2,3,4,5,7$ in some order so there isn't a lot to play around with here. The closest you can seem to get is the following:

But these lines can be found not to be concurrent using the previous formula.
Overall, it looks like $n=24$ is the minimum possible.