Season 3 has not yet been confirmed. Given that season 1 ran from 2017-2018 and season 2 from 2018-2019, it is basically overdue as one would expect the 3rd to run from 2019 to 2020 but as of March 2020 there has been no word of it.
Nick A live mentions that Nella has reportedly ended production. It was pulled from the Nick Jr US schedule in December 2019 but still airs on Nick Jr UK.
Amazon VOLUME confusion
Some confusion can exist about this because of how Amazon represents the series. Seasons are generally split into volumes for distribution, but Amazon incorrectly lists the volume number as the season number.
https://www.amazon.com/Nella-Princess-Knight-Season-3/dp/B079XT1KYR for example lists the 2018-2019 episodes ranging from Nella's Amazing Adventure to A Dragon Ate My Homework! as being the 3rd season, but they are actually volume 3. The episodes it includes come from the end of season 1 and the start of season 2.
It is unclear why Amazon misrepresents shows like this, since the graphics they use clearly say 'volume' and not 'season'.