I don't know a way to use Knoppix himself in the 2nd and persistent memory in the 3rd partition. But why not do a Flash disk install and use remaining free space within 1st partition for Windows?

With a 16 GB USB for example you need 4GB for Knoppix himself; if you use 4GB for persistent memory (overlay file or overlay partition), you'll have remaining free space of about 8 GB within the 1st partition. To prevent trouble where to store Windows stuff, create a separate directory
Code:
su
mkdir /mnt-system/onlyWindows