Who is this third character and what is her connection?
I think she looks like Shana from Shakugan no Shana



All of them has similar trait, small stature, and tsundere. All of them also has same seiyuu, she's Rie Kugimiya. And all of them also produced by J.C. Staff.

The reason of why they look similar probably because (as @LoganM says) J.C. Staff is rather lazy with this kind of thing. They also have similar art and animation style among their series even when they have different Character Designer.