Sure if you want to make your own toggle buttons, the skys the limit.

On Click
And
If Then

Should cover most of what you would need.
Basically if its A move to B if its B move to C if its C go back to A

Thanks Adam. What would I use as the 'button'? I want it to get its data from a field that is a triple state field called Returning.

Just use a regular button, then control everything with vba. So your button would probably also set the caption of the button on press Caption so they knew what the current value was. And it would also set the value of your triple state field (which would probably be an invisible checkbox that stores the real value) A piece of your code would probably look like this. (Typing on phone doesnt put real double quotes  (apparently puts single quotes, use double) so dont just copy/paste this, wont work)

If mybutton.caption='a' then
    Mybutton.caption='b'
    Mycheckbox=false
Elseif mybutton.caption='b' then
    Mybutton.caption='c'
    Mycheckbox=null
Elseif mybutton.caption='c' then
    Mybutton.caption='a'
    Mycheckbox=true
End if

Thanks Adam! That worked very well. My only issue now is that the button is on a continuous form and all of the buttons are changing together. The check box for each record is changing correctly using this code:
Private Sub ReturningBtn_Click()
    If ReturningBtn.Caption = "NO" Then
        ReturningBtn.Caption = "M"
        ReturningBtn.BackColor = RGB(255, 255, 0)
        ReturningCB = Null
    ElseIf ReturningBtn.Caption = "M" Then
        ReturningBtn.Caption = "Y"
        ReturningBtn.BackColor = RGB(0, 128, 0)
        ReturningCB = True
    ElseIf ReturningBtn.Caption = "Y" Then
        ReturningBtn.Caption = "NO"
        ReturningBtn.BackColor = RGB(255, 0, 0)
        ReturningCB = False
    End If
    
End Sub

Any way to have botton change independently for each record?

Here's the solution I used to create a triple state toggle button. I use the checkbox (ReturningCB) with the Control Source set to the 'Returning' field and stretched it over a text box (ReturningTX). The check box is set to Triple State.

The control source of the text box is:
=IIf(IsNull([Returning]),"?",IIf([Returning]=-1,"Yes",IIf([Returning]=0,"No",[Returning])))

The conditional formatting of the text box looks like this sets the color to Yellow, Green or Red depending on whether the value is "?", "Yes" or "No".

I'll include an image of the result below.

I hope this helps someone else looking for a solution to a Triple State Toggle Button.

I should say that I can click any where on the image of the button to change the value since the area of the checkbox stretched over the text box.

I forgot to mention that you need to put Me.Requery in the After Update Event of the checkbox to get the update to show in a continuous form.