You just can't do it. MERGEIt works with only two tables - source and target.
For your requirement, you need, for example, use CTE (Common Table Expression) to find rows that do not match, and paste them into the third table.
Sort of:
;WITH NonMatchedData AS
(
SELECT (columns)
FROM dbo.SourceTable
WHERE ID NOT IN (SELECT DISTINCT ID FROM dbo.TargetTable)
)
INSERT INTO dbo.ThirdTable(Col1, Col2, ....., ColN)
SELECT Col1, Col2, ....., ColN
FROM NonMatchedData
source
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