It could be one of two things.

1. Some strings have a socket on the far end to provide 120V there so you can chain multiple sets together. The extra wire just brings that power through.

2. These minture sets put all the lower voltage bulbs (typically a 6v or so for incandescents, 1.8 for LEDS) in series to drop the 120V supply. If there are more bulbs than that drop adds up to, they may actually divide the bulbs amongst parallel strands.

Absent inspecting the wiring carefully, we can't tell you what you have.

The three wires may look confusing at first, but are really very simple - two of them just feed a hot and neutral downstream from one end to the other - the third is just a series feeder.

Let's say you have a strand with 180 light bulbs and it has light bulbs rated at 2 volts each. So first you put 60 of them in series and it will drop the 120 VAC over them equally to 2 volts each.

The next set of 60 light bulbs is just placed across the continuing parallel hot/neutral pair, again in series, and drops the voltage accordingly.

The last set of 60 light bulbs does the same thing.

The light bulbs also may include a "shunt" which has a slightly higher resistance than the bulb filament itself, but will continue to conduct downstream the keep the strand lit if the filament burns out.

With LEDs, there are more options to address inline failures and voltage drop depending on strand length.

Without getting into the "defeating the UL listing" of the light strands, yes, you can just wire nut them together, but can't you just hide the plug/receptacle connection?