I've spent hours searching the map for that 3rd radio with no luck, the only reason I believe it exists is one time I was playing solo looking for the radio, I was able to get the 3 film reels and put them in the projector by round 9. I then shot the radio in the chandelier and then went out to the alley and shot that radio on the building and a different recording was played and its the only time I've ever heard it, it was the knocking on the door and then it goes to static, I've only heard this once and I've logged many hours on this game.
It would make sense that the radio is by the dressing room, could have something to do with the knocking you hear or the wind howling that you hear sometimes. I can't believe with all the players from ps3 and xbox that no one has found it.