What famous Connecticut native starred in the first three ring circus?

There is no record of a "first three ring circus." The circus as we know it with multiple rings evolved over time.

However, a famous Connecticut native who was closely associated with the circus world is P.T. Barnum. While he didn't invent the three-ring circus, he was a master showman who helped popularize it during his time. He was born in Bethel, Connecticut, and his circus was a major attraction in the 19th century.