I am assuming that your users will use this control to set a priority, and also to assess the priorities that have been set. If that is the case it is important to make sure your control is not only easy to set, but also to see the current setting at a glance. I would recommended using 3 radio buttons or a combo of 3 buttons because it is not very easy to read the current setting from them.
My question is: is it really that much of a problem if your users have to click twice to set the control to the desired setting?
Look at Gmail where you can assign stars in different colours to an email. My Gmail settings are set so that I have 4 different colours in use:
You have to click, double-click, triple-click etc. the white star in the top right corner of an email to give it a colour:
What I have found is that I have rapidly gotten used to e.g. clicking twice to make the star go orange. If your users use your app or website regularly, chances are they will become quite adept at it and simply click twice to go from stage 3 to stage 2 without having to think about it. I reckon this will be much easier to learn than a right-click to go backwards.
Keeping the button simple allows you to make it easy for your users to assess the settings, e.g. by reinforcing the stages with colour coding: