Like Mark Twain said, “if you never lie, you never have to remember anything”.
First of all congratulations on making it through two rounds.
I would be tactful yet open with the third company - HR and hiring managers usually like to know if you are talking with other places, not as a ploy to get more compensation but simply so they know to move things along in a timely manner. If they want you enough to fly you around they are prepared for the travel expenses to be a total wash. Being open shows some courtesy.
If on the other hand you are skilled at working people and timelines then be as opaque and self-serving as possible.