How do I have a threesome with Yen and Triss?
To have this option you have to:
- admit love to Yen during the Quest
The Last Wish. - admit love to Triss during the Quest
Now or Never.
Then you will automatically come into the scene, also look at this video:
Based on the question itself, you cannot have "a threesome" with Yen and Triss.
Based on the text within: You can continue a relationship with both, individually, throughout the game, and the scene shown in the video happens at Kaer Morhen when gathering followers if you've... well, led them both on.