Hi Simon,
Thanks for posting your question here. You actually should be able to create a single multi variation listing with 3 different variations so I am not quite sure why you are running into the problem you have described here.
Once you have selected your category and clicked the "Add/Edit Variations" link, you will need to click the "Variation Generator" link near the top of the ensuing pop up window to get to the area from which you can create custom variations.
You will then need to click the "Custom Attribute" link and enter the name of your first custom variant (Colour of 1st 20) and click the "Submit" button. A box labeled "Colour of 1st 20" should then appear where you can enter the colors you have available.
At that point, you should see another "Custom Attribute" link in the "Click to select up to 5 attributes" section in the window and you should be able to click that link to create your second variant. Similarly, once you have created your second custom variant, another "Custom Attribute" link should appear that can be used to create your third.
I hope this helps. If you need any further assistance with your account, or the system is not working as I have described for you, please contact our customer support team by mousing over the "Help" tab within your account and selecting the "File Support Case" option.
-Mike