In a single phase transformer, with typical EI core like this:-
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The centre has the winding and the sides are there to close the magnetic circuit for the flux, and the flux in the two sides adds up to the flux in the centre.
In a three phase transformer there are three main magnetic cores, and on each of them the primary voltage of one phase will be transformed to the secondary voltage of the same phase.
In all transformers of that type there has to be a complete circuit for the flux. However, in a three phase transformer the total instantaneous flux from all three phases added together is always zero, so there is no need for the side part of that is needed with a single phase transformer.
If a three phase transformer were used on three signals that were different, that did not add up to zero at all times, it wouldn't work properly, and it would need to be made with a return path, or three separate single-phase transformers could be used.