I know that there are several cities that are located in two states, my question is are there any cities in 3?

Answer 1

generally, legal city limits stop at state lines, although metro areas can and do spill over state lines.

The NY metro area spills over into NJ and Conn.
The Philadelphia metro area spills over into NJ and DE.

there are others that could make a tentuous case, but those two are definites.