Yes, a player can roll previously set aside dice during their third roll if they change their mind.

This is supported by the following rule:

• On your turn, you can roll the dice up to three times. For your second Roll, if you like some of your results, you can set them aside and only roll the ones you don’t like again. For your third Roll, if you change your mind, you can roll any dice you set aside again, along with any you still don’t like.
  (Page 4)

This means that during the third roll, you are allowed to pick up and re-roll any dice, including those you had previously set aside.

Source: page 4

Source: Core Rulebook (pp. 3, 4, 5, 6)