The Bloefeld trilogy is Thunderball, OHMSS, and You Only Live Twice. However, eventhough the “Spy who Loved Me” is after Thunderball, Bond is in North America as part of Operation Bedlum (The worldwide hunt for Bloefeld).
The first Bond film I ever saw in a theater, “For Your Eyes Only”, back in 1981 (I was 7), the opening scene as you may recall, was the only one where they heavily referenced OHMSS, starting at Tracy’s gravesite, and ostensibly ending with Roger Moore’s JB killing Blofeld (although I don’t think they ever called him by name, you clearly were supposed to know who he was, by then he was confined to a wheelchair - but I was never clear if that was because of his accident at the end of DAF). I forgot if it was that Kevin McClory who was constantly at legal odds with Broccoli & Co. had the rights to the Blofeld name and was why they couldn’t say it. Set me straight if I’m in error over that.