What is the typography term which refers to the usage of bold, italics, and underline styles simultaneously?

Bold and italic and underline are all examples of typographical emphasis. Others include (but are not limited to) strikethrough, overlining, changed font and size, capitalisation and letter spacing.

Although bold, italic and underline are the most common, they are not often used in combination, so I don't think there's a special word or phrase for it.

You could refer to it as triple emphasis, or if you need precision, stick with bold, italic and underline.

I'm not sure about the italicized part, but this source calls the kind of balloon and bold and underlined words used to indicate screaming dialogue a burst balloon (in contrast to a radio balloon for more normal dialogue):