Well, they won't be 'pregnant', as such, just carrying eggs.
The eggs are fertilised by the male after they've been laid, so they won't be fertile unless there is a male present in the tank. I wouldn't want to try keeping three in the same tank; the 'odd' female would be bullied, probably killed by the pair.
You might want to add the male and remove the female that he doesn't chose, as most cichlids do like to pick their own mates, but you'll have to watch them very closely, and be ready to move the second female very quickly.