[99cents]

You’re saying the fan continues to operate momentarily after the thermostat shuts the heater down? Maybe that’s the reason for the third wire; it provides power to the fan after the two 240V legs are opened (that would mean there’s a neutral at the heater).

 

[99cents]

Most snap discs delay the heater’s fan so you don’t blow cold air.

But how does it get power to continue operating?