How do I unlock the third "Who Knows Where" challenge?

They are all unlocked as the game progresses. The smoking pipe, the cooking pot, and the bedroll lead to each of those challenges. The bedroll is the third and is found between the pot and the pipe. I believe you just walk near that area and Rucks will mention he brought it their for the Kid.

It unlocked towards the end of the game, after I'd taken time out to complete a challenge area or two. I think I only had the last two main areas at most left at that point, so it may be you need to complete a few of the bonus areas, or just some total number of areas.

Actually, the third one is the History Books. For some reason, the cooking pot overlaps this, you have to walk around the left side of the pot and press against the left for History Books to show up. That's the third. The smoking pipe one has no achievements tied to it, I believe. It's just practice whatsit.