I have to admit when I first read this I took it to mean one PDS member, which is roughly equivalent to a sequential data set to 3 PDS members, which are roughly equivalent to 3 sequential data sets.
One thing you do not want to do is try to create the 3 members into 1 data set in one step at the same time using JCL. This will not work! You want to do something like -
//A EXEC ---
//INPUT DD DISP=SHR,DSN=INPUT(MEMBER1)
//OUTPUT1 DD DISP=(NEW,PASS),UNIT=SYSDA,SPACE=(...)
//OUTPUT2 DD DISP=(NEW,PASS),UNIT=SYSDA,SPACE=(...)
//OUTPUT3 DD DISP=(NEW,PASS),UNIT=SYSDA,SPACE=(...)
//B EXEC PGM=IEBGENER
//SYSPRINT DD SYSOUT=*
//SYSIN DD DUMMY
//SYSUT1 DD DISP=OLD,DSN=*.A.OUTPUT1
//SYSUT2 DD DISP=OLD,DSN=OUTPUT(MEMBER1)
//C EXEC PGM=IEBGENER
//SYSPRINT DD SYSOUT=*
//SYSIN DD DUMMY
//SYSUT1 DD DISP=OLD,DSN=*.A.OUTPUT2
//SYSUT2 DD DISP=OLD,DSN=OUTPUT(MEMBER2)
//D EXEC PGM=IEBGENER
//SYSPRINT DD SYSOUT=*
//SYSIN DD DUMMY
//SYSUT1 DD DISP=OLD,DSN=*.A.OUTPUT3
//SYSUT2 DD DISP=OLD,DSN=OUTPUT(MEMBER3)
I suspect this is much less elegant than what you were thinking, but this skeleton will actually work!