There is actually a book on the subject, (and it’s available at the New York Public Library Mid Manhattan Branch, located on the 5th floor, 455 Fifth Avenue at 40th Street):

Foster, Barbara, Michael Foster and Letha Hadady. Three in Love:
Menages a Trois from Ancient to Modern Times. San Francisco : HarperSanFrancisco, c1997

The Dewey call number is 306.77 F.

Through searching a variety of databases, I was able to come up with a number of fictional examples in movies and books, but had less luck locating historical examples.