Athreos, God of Passage and Undying
Basically I am trying to see if Geralf's Messenger will effect loss of 6 life before it is well and truly dead


Nope. Undying actually makes it worse for you.

I think your error is that you forgot about one of the key rules of MTG:


  400.7 An object that moves from one zone to another becomes a new object with no memory of, or relation to, its previous existence. There are seven exceptions to this rule:


In this context, that means that when the Messenger leaves the graveyard, abilities that later try to move it from the graveyard won't find it since it doesn't exist anymore.



Here's what happens:


Geralf's Messenger dies (is moved from the Battlefield to the graveyard) for whatever reason.

Both its undying ability and Athreos's triggered ability trigger.

The abilities that triggered are placed on the stack in APNAP order. A player decides the order in which his abilities are placed on the stack.


What happens next depends on the order in which you place the abilities on the stack.



If you place the Undying ability on the stack first and Athreos's triggered ability second.


Athreos's triggered ability resolves:

Return it to your hand unless target opponent pays 3 life.

Undying resolves:

If it's still in the graveyard, return it to the battlefield under your control with a +1/+1 counter on it.



So,


If opponent pays 3 life, it ends up on the battlefield with a +1/+1 counter.
Otherwise, it ends up in your hand.


He shouldn't pay any life, forcing you to cast it again.



If you place Athreos's triggered ability on the stack first and the Undying ability second.


Undying resolves:

Return it to the battlefield under your control with a +1/+1 counter on it.

Athreos's triggered ability resolves:

Target opponent may pay 3 life, but it doesn't matter if he does or not since the object to move no longer exists.



So,


If opponent pays 3 life, it ends up on the battlefield with a +1/+1 counter.
Otherwise, it ends up on the battlefield with a +1/+1 counter.


He shouldn't pay any life since it doesn't make a difference.