It's not technically an official confirmation but there's been some hype today due to remarks made by Zelnick of Take Two about it:
“You would like every franchise to be James Bond. There are precious few entertainment franchises of any sort that fall into that category, but they do exist. And I think GTA is one of them, I think Red Dead is one of them…”
Nothing much to go on but still interesting.
So what should the story/setting of a third game be? Go back further in time, to the origins of the Van Der Linde gang, perhaps up to the Blackwater incident which was the beginning of the end?
Feature something new with Jack Marston?
Perhaps the story with the best potential still tied to the lore would be Landon Rickett's past, including whatever role he had in Blackwater despite not being part of the Van Der Linde gang, he was *somehow* involved. It helps that Red Dead II doesn't deal with him at all except for a few small Easter eggs and mentions-almost if Rockstar could be anticipating developing his story later.
Or maybe just something totally original?