I don't think Trump can go the third party route if he loses the race for the Republican Presidential nomination. After Theodore Roosevelt attempted a third party run in 1912, several states passed "sore loser" laws to block similar third party runs. Remember that all significant third party runs after 1912, like Perot in 1992 and 1996, John Anderson in 1990, George Wallace in 1968, and Strom Thurmond and Henry Wallace in 1948, involved men who did not compete in the major party primaries.
That would not preclude Don Trump, Jr., from running as a third party candidate.