There are a number of possible triples with Russia, thanks to [Kaliningrad Oblast](http://en.wikipedia.org/wiki/Kaliningrad_Oblast). You may wish to exclude this, even though it is not an overseas territory, and it is an oblast (roughly, a state or province) of Russia.

 - Russia, Poland, Belarus
 - Russia, Poland, Ukraine
 - Russia, Lithuania, Belarus
 - Russia, Lithuania, Latvia

Another, possibly more "legitimate" answer not yet given is

 - Tanzania, Malawi, Mozambique