Isso fará isso, apenas modifique conforme apropriado
Sub Umesh()
Application.ScreenUpdating = False
Dim i As Integer
Dim c As Range
Dim d As Range
Dim e As Range
i = 1
For Each c In Worksheets("Sheet1").Range("A:A")
If c <> "" Then
For Each d In Worksheets("Sheet2").Range("A:A")
If d <> "" Then
For Each e In Worksheets("sheet3").Range("A:A")
If e <> "" Then
Worksheets("sheet4").Cells(i, 1) = c.Value
Worksheets("sheet4").Cells(i, 2) = d.Value
Worksheets("Sheet4").Cells(i, 3) = e.Value
i = i + 1
End If
Next e
End If
Next d
End If
Next c
Application.ScreenUpdating = True
End Sub