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You play hold fleet for example in the North Sea,
Second player attacks you from London with support of his fleet in Edi,
Third player also attacks you, from Denmark with support of his fleet in Norway,

but, you give another support for one of them from your second fleet in Skag,

so that one of them gets to enter the North Sea because of the 3 army attack, but you get to retreat to somewhere nice?

No. In that scenario there would be a bounce in North between the two powers supporting their moves, essentially causing all units to remain where they are. Your support order from Ska basically does nothing since you are not allowed to dislodge your own units.

Thanks, Tom.