Is there a third Holmes sibling?

There is mention of another brother Sherrinford Holmes on wikipedia:

Sherrinford Holmes is a hypothetical elder brother of Sherlock Holmes and Mycroft Holmes. It is believed that his deduction skills exceed those of both his younger brothers. His name is taken from early notes as one of those considered by Arthur Conan Doyle for his detective hero before settling on "Sherlock Holmes".

He was first proposed by William S. Baring-Gould who wrote in his famous 'biography' "Sherlock Holmes of Baker Street" that Sherrinford was the eldest brother of Sherlock Holmes. Holmes once stated that his family were country squires, which means that the eldest brother would have to stay to manage the house. If Mycroft were the eldest then he couldn't play the role he does in four stories of the Sherlock Holmes canon, so Sherrinford frees them both. This position is strengthened by the fact that Mycroft's general position as a senior civil servant was a common choice among the younger sons of the gentry.

The character appears (misspelled Sherringford), along with his brothers, in the Virgin New Adventures Doctor Who novel All-Consuming Fire by Andy Lane, where he is revealed to be the member of a cult worshipping an alien telepathic slug that is mutating him and his followers into an insect-like form; the novel culminates with Holmes being forced to shoot his brother to save Watson.

He also appears, accused of a murder that Sherlock must find him innocent of, in the Call of Cthulhu roleplaying game adventure The Yorkshire Horrors.

Indeed...

This is a key theme of the fourth series of Sherlock. Therefore, spoilers follow, principally from Series 4 Episode 3 'The Final Problem'.

Sherlock and Mycroft have a sister Eurus, a potentially 'era-defining' genius. Sadly she became a danger to the family and to others from a young age and was taken into care; later she was exiled to a facility known as Sherrinford by Mycroft. She is unknown to Sherlock as he had reacted to the trauma of the early events of his life by blocking Eurus and her actions out of his memory.

... for these reasons Mycroft generally avoids making reference to a third sibling except occasional oblique comments such as the one you describe.

No, there is no third sibling in canon.

In literature, Sherlock's only sibling is his brother Mycroft. From the Baker Street Wiki:

Mycroft Holmes appeared or is mentioned in the following adventures:

"The Adventure of the Greek Interpreter"
"The Final Problem"
"The Adventure of the Empty House" (mentioned)
"The Adventure of the Bruce-Partington Plans"

Sherlockian also discussed this, commenting:

The rest of the family

It is natural to wonder whether there were other brothers in the Holmes family. None are mentioned in any of the original Sherlock Holmes tales. But the 1975 film "The Adventure of Sherlock Holmes' Smarter Brother", starring Gene Wilder, is not about Mycroft; instead, Wilder presents a manic third brother, Sigi Holmes. Presumably the name is short for Sigerson, taken from the alias used by Holmes in "The Empty House".

A number of Sherlockians have ventured to speculate about a brother named Sherrinford. That name is taken from Arthur Conan Doyle's original notes for A Study in Scarlet, in which the name Sherrinford is used for the consulting detective who would shortly appear in print under the name of Sherlock.

And what about sisters? There is no evidence, apart from a few wistful comments in "The Copper Beeches" to the effect that "no sister of mine" should run the risk that faced Violet Hunter.

From this, it can be clearly seen that there is no third brother in canon.

That doesn't mean a third brother won't appear in the show. From many interviews with Steven Moffat:

When we asked how the briefly mentioned third Holmes brother may eventually play into the series, Moffat, not surprisingly, teased that we should just, "Wait and see!"