It depends on the viewpoint.
There are different types of third person viewpoints. Is the viewpoint third person omniscient narrator, or third person from the character's viewpoint?
An omniscient narrator knows everything about all the people, places, and events in a story. We can trust that anything an omniscient narrator tells us is accurate. So therefore it would be very difficult to describe a character whose actual gender has not been revealed yet. Using 'they' only gives away in advance that the character might actually be female when they appear to be male, or vice versa. Using the pronouns associated with the gender they appear to be, until the reveal, might be considered dishonest from the otherwise honest omniscient narrator, but opinions on that will vary.
Third person from a character's viewpoint might give us better results, though. We see this form of narrative in several books, including George R.R. Martin's A Song of Ice and Fire series. For example, a certain chapter/section might be labeled 'Jon' and thus tell that part of the story from Jon Snow's perspective, while still remaining third person. The narrative describes Jon Snow's thoughts and internal reactions, but the reactions of those around him (Samwell Tarly, Lord Commander Mormont, Ser Aliser Thorne, Ygritte, Tormund, various Night's Watch and wildlings) are described from what Jon sees. We don't get into those characters' heads while the viewpoint remains Jon's. If the next part of the book is told from Samwell Tarly's perspective, then we get into Sam's head and get more insight as to his thoughts and feelings on the matter, and Jon's reactions are likewise described from what Sam sees. Even though all this is still written in third person.
So yes, in third person perspective, if you're writing from the viewpoint of someone other than the gender-ambiguous character, then feel free to use the pronouns of the gender that person appears to be until the reveal.
If, however, the third person perspective character IS the gender-ambigous character, then it depends. Do they think of themselves within those pronouns? Do they see themselves in a sort of non-rigid gender terms, in which they refer to themselves with male pronouns when they have a male appearance but female pronouns if they have a female appearance? If so, then the use of the pronouns in this manner makes perfect sense.
I have roleplayed a few characters of this sort who actually switch sexes via a sort of gender bender magic, and used pronouns such as this accordingly.
