How long have you had the new girl?
I think you need to spend some time on the pre-bonding first, so getting Buns and Hero used to Penelope. There is a risk that a third can split up a bonded pair too, although, it probably would have happened by now I imagine. Buns is being territorial because there’s suddenly a new bunny in her territory! Hopefully if you do the cage and scent swapping, they’ll get used to the idea.
You must make sure they can’t reach each other during the free run time, so either with extra pen walls, or cardboard blocking off the others area.
Spend about a month swapping them between areas, then go back to the bath tub. If they’re ignoring each other that’s great. Just slowly increase the time they’re spending together, and try multiple sessions in a day. If stress works, then try that too.
I don’t have any trio experience myself, but I’ll be bonding a trio in about a month, so I look forward to learning from you! I still think basics on pre-bonding are the same though, so I hope my advice is relevant.
Mikey used to have a trio, so hopefully they’ll pop by!