![Razz :P](./images/smilies/icon_razz.gif)
Mercedes-Benz:
Le Mans - 1952 and 1989
Indy 500 - 1915 (I don't count the 1994 Ilmor pushrod as a Merc)
Monaco GP - 1935, 1936, 1937, 2013, 2014, 2015, 2016, and 2019
The first ones to do it, and arguably the only "true" winner, as Merc is the only one to do it with both chassis and engines they built themselves.
Lotus:
Le Mans - 1956 and 1957 (Class wins, but I'll count them)
Indy 500 - 1965
Monaco GP - 1960, 1961, 1968, 1969, 1970, 1974, 1987
Lotus was everywhere in the 1960s and 1970s, but they could "only" win the 1100cc class at Le Mans.
Cosworth:
Le Mans - 1975 and 1980
Indy 500 - 1978, 1979, 1980, 1981, 1982, 1983, 1984, 1985, 1986, 1987, 1995, and 1996
Monaco GP - 1968, 1969, 1970, 1971, 1972, 1973, 1974, 1977, 1978, 1980, 1982, 1983, 1993, and 1994
The greatest engine builder of all time took just ten years to win the Triple Crown.
McLaren:
Le Mans - 1995
Indy 500 - 1972, 1974, and 1976
Monaco GP - 1984, 1985, 1986, 1988, 1989, 1990, 1991, 1992, 1993, 1998, 2000, 2002, 2005, 2007, and 2008
The papaya squad was the last "real" winner, completing the set in 1995 with the F1 GTR.
Honda:
Le Mans - 1995 (Class win)
Indy 500 - 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2014, 2016, 2017, 2020, 2021, and 2022
Monaco GP - 1987, 1988, 1989, 1990, 1991, 1992, and 2021
Honda gets in, but only with loads of asterisks. Their Le Mans win was "only" a class win, and their Indy and Monaco wins were "only" as an engine supplier. But they were the only ones to win two of the races in the same year, in 2021.
Did I miss anyone? Ferrari, BMW, and Renault all have two of of three and are just missing Indy (despite Ferrari and Renault trying). Toyota and Peugeot have Indy and Le Mans but failed miserably in F1. Ligier of all people built cars for all three but only ever won that crazy 1996 Monaco race. (They had a 2nd place at Le Mans too to be fair). Audi and Caddy joining F1 means they have a shot at two of three. (GM has Indy and Le Mans already with Chevy as well).
If nothing else, this did at least distract me.
EDIT: My initial list failed to mention a few other companies who attempted it: Maserati and Cooper both have won 2 out of 3 and March and Aston Martin who have won 1 out of 3
and as Har1MAS1415 wrote below, Alfa has Le Mans and Monaco.