Would twisting 3 wires together be as effective (or close) to a twisted pair?
The effectiveness of a good twisted pair cable relies on these things to largely eradicate differential-mode induction: -

What source feeds it and
What receive circuit it connects to

So, if the send and return wires (and their associated transmit and receive circuits) don't present a balanced impedance to ground, then twisting is not effective at countering magnetic interference.


Intuitively speaking it should still work because the EMI would still
cancel out assuming the wires are twisted properly.


The return wire will have less capacitance to ground hence it won't be balanced
The receive circuit input impedance is not balanced
The transmit circuit may not be very well balanced
Twisting by itself isn't a solution to electric field interference

You are probably wasting time twisting them under these circumstances.