Can we create a failover cluster of 2 nodes, make this cluster a member of BAG, and then add 3rd node as BAG member?
Yes you can and this would be one of the way to have 3 nodes in WSFC. Please note a database residing in AG which is part of SQL FCI will not have automatic failover in BAG or AG. The feature gets removed as soon as you put AG as part of FCI.
Also as I see adding 2 nodes with SQLFCI will only make things complex. What is issue with simple 2 node BAG ?