I wouldn't have sex in a threesome with a virgin if that was with him and another of my partners. Too much risk of him feeling like a third wheel. Plus if it's his first time, I'd want to devote all my attention to him.
For that matter, I wouldn't have sex with a new partner as a threesome for the first time in that configuration, either.
However, if the virgin loves two people, me and someone else, then sure. I can totally get not wanting to pick just one of the two people he loves for his first time. That would seem only fair. I'd discuss it before hand with the other partner.
Mmh, just thinking about it, I could see having sex with an existing partner in front of a new, virgin one, if they so wanted. And then I could imagine saying he's allowed to join. So I guess I wasn't quite right about my first option...
Still, for myself, I'd like my first time with someone to be with just them, and not with another of my partners as well (new or old). I'd be fine with "sharing" that moment with another partner of theirs. Wouldn't want to put him in the situation of having to choose who gets to be "his first one".