It's likely a two color LED, with one lead
being a common (-) and the other two being
it's anodes (+), one for each color. I would
not suggest tying the two anodes together
because this may cause problems with the
internal circuitry that's driving the LEDs.
Maybe, when the LED comes on, take your
meter to the pins to figure out which pin is
positive (and which is negative) and hook up
a normal two pin RED LED to those pins (take
your measurement with the most active LED
being lit or when the blue one lights up.