Hi Kevin.
Transits of Venus are very rare - only about 6 hours twice every 113 years. Transits of Mercury are more common, but still only a few hours every few years. That would make it very, very unlikely that they would ever over lap, and I don't think we will ever see such a thing during our lives.

One the other hand, the Earth, Venus, and Mercury have been around for around 5 billion years, which is a very, very long time, so it is possible that at some point during that time it has happened. Maybe someone good at calculating orbits could figure it out.

Terry