The Tanakh - whether the term was widely used at the time or not - includes other works beside the Law, the Prophets and the Psalms. In Jesus' day his audience would have definitely accepted the Law (Torah) and the Prophets as scripture, as well as the Book of Psalms. Other writings were not as universally accepted or as widely read. More important, some of the other writings did not testify so clearly to the point Jesus was making in this particular story.
This saying of Jesus comes during his dialog with the unnamed disciples on the Road to Emaus. The episode includes the following:
Luke 24
21 "But we had hoped that he was the one who was going to redeem
Israel."...25 He said to them, “How foolish you are, and how slow to
believe all that the prophets have spoken! 26 Did not the Messiah have
to suffer these things and then enter his glory?” 27 And beginning
with Moses and all the Prophets, he explained to them what was said in
all the Scriptures concerning himself.
Jesus helps the disciples to revise their expectations of him (they hoped he would act at the Jewish Messiah to redeem Israel from foreign occupation and restore the throne of David) by showing them that there were passages in the scriptures that predicted his suffering. Later in the chapter, he adds the Psalms to the list. This is probably because the Psalms include passages, formerly overlooked by Jews in terms of their messianic import, that seem to foreshadow Jesus' death (e.g. Ps. 22).
Jesus did not say 'Oral Law' here because, assuming he considered it authoritative, it was still unwritten. He did not say 'Talmud' because the Talmud (a written compilation of Oral Law) was still in the future, not to mention that it does not testify to Jesus.
Finally, the OP asks: "What is fulfilled that is found in all three mentioned by Jesus?" Given the context, the answer is almost certainly that the Messiah would suffer, an idea that was apparently new to those to whom he spoke.
Conclusion: Jesus mentioned all three types of scripture: Law, Prophets, and Psalms because he wanted to show his disciples how each type predicted his suffering, which his followers did not expect. Over the coming decades, the church would use these scriptures effectively to present the gospel message - that God sent Jesus to die for humanity's sins - rather than to restore the throne of David in his lifetime.