The Three Unknown Things are characters that appeared in Rixty Minutes.
They are three unknown alternate dimension creatures that made appearances on that dimensions' version of "Saturday Night Live." The announcer couldn't pronounce their name, so basically all information about them is completely unknown.
They were left unnamed because Justin Roiland (who was voicing the announcer of "Saturday Night Live") didn't know what to call them. So in the recording studio, he just said "I'll get back to that one" and they just decided to use that in the final cut.