I can only presume that the values are Constants rather than formulae else you could inspect the formula itself.
Assuming they are constants I think you're saying you want to try and match against all three sheets and return sheet in which item is found, correct ?(assumes only 1 sheet will match in file)
If so, in pseudo-terms:
=IF(ISNA(MATCH(value,'[other book]sheet1'!range,0)),IF(ISNA(MATCH(value,'[other book]sheet2'!range,0)),IF(ISNA(MATCH(value,'[other book]sheet3'!range,0)),"nowhere","sheet3"),"sheet2"),"sheet1")
is that along the lines of what you were thinking ?
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