It is not possible to fuse Azelf, Uxie and Mesprit in anyway. The only fusion of Pokémon that exists in any version of Pokémon is a fusion of Kyurem with Zekrom or Reshiram in Pokémon Black2 or White2.
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You cannot combine Pokémon.
there is nothing you really need to do with azelf, uxie, and mersprit. you just need to see them to complete your pokedex.
to get a lv.1 mesprit you need to intter an cheat code.
go to sunnyshore city if u haven't yet
in platinum the different sprites are UXIE,MESPRIT and AZELF