Is it reasonable to mention being shortlisted for a prize in CV?
It is fine to list your presence on the shortlist, since that list was published by the awarding group. I would say otherwise if there was no clearly public record and the finalists were merely privately notified. 

But the group itself has seen to honor a few candidates separately from all nominees and you can make a note of that. 

Not essential, but reinforcing, is the fact that the three "finalists" are asked to present a special lecture at the conference. Congratulations.