Trump would have to start one.
He'd pull supporters from both sides of the Uniparty.
It might work, it might not, but if he tried it would cause an earthquake.
It would have to be very soon, though.
It takes money...a lot of money to do a third party. Then you have to fight in probably every state to get the party recognized and on the ballot. Again...more money. The current situation is setup to make it difficult to start another political party and then harder to get it recognized on a nation wide level. Given today’s environment I’d bet you would be looking at a billion dollars to setup a third party that would be competitive. And honestly I don’t think Trump would do it.
It is a massive undertaking to say the least.