From the Elias Sports Bureau, by way of the NHL:

Pittsburgh’s Evgeni Malkin is the first Penguins player ever to score a goal in each of his first three NHL games and he’s the first player on any team to do it since the Sharks’ Jan Caloun in March 1996. The last player to score a goal in each of his first four NHL games was the Rangers’ Steven King in December 1992.