It's the third release, published between Volumes 2 and 3, but it's not the third volume. Remember those text-only extra features? This is what happens when Alan Moore goes nuts with them, calls them a Black Dossier and gives them half the book's pages. The other half is a conventional comics story, but a simplistic one that's mostly just an excuse for Murray and Quatermain to explore the world and read the Black Dossier.
Moore's called this "a sort of ingenious sourcebook", not a regular volume. I see what he means. The story's worth reading. The Black Dossier extras are more variable, with some I like a lot and others I skimmed.
These are clever. Moore and O'Neill do Shakespeare, Fanny Hill, picture postcards, UK newsstand children's comics ("The Trump"), a 3D finale (including 3D glasses) and 18th century political cartoonists like Gillray, Rowlandson and Cruikshank. There's an Orwell's 1984 version of Jane, done as a Tijuana bible. My favourite was the Wodehouse-Lovecraft crossover ("What Ho, Gods of the Abyss?"), which is glorious even if I can't believe no one's ever had that idea before. Gussie Fink-Nottle's brain is removed by a Lovecraftian abomination, but no one will notice the difference.
Moore proves quite the chameleon. He can do a spot-on P.G. Wodehouse and the most accurate modern Shakespearean pastiche I've read, for instance. There is, though, so much nudity and sex that it's as if someone's going through a Heinlein-like dirty old man phase.
THE FRAMING STORY
This isn't the 19th century, but 1958, after the fall of Big Brother's government from Orwell's 1984. (Perhaps that took place in the year of its publication, rather than the year of its title? The latter's a lie in the original book, after all.) Murray and Quatermain steal the Black Dossier and, as usual, visit fictional characters. Here, though, they're being chased by "Jimmy" (James Bond), Miss Night (Emma Peel, under a rights-dodging misspelling of her maiden name) and Uncle Hugo (Hugh "Bulldog" Drummond). The baddies' interactions end up being the real meat of the story.
The time jump is of questionable benefit. Moore was probably in danger of running out of iconic Victorian-era characters, given his rate of galloping through them, but this more modern era is a different kind of obscure. Carry On Cabby? Coronation Street? Fireball XL5? Virginia Woolf novels? Furthermore, these characters are usually still in copyright and can't be named openly, making it even more of a guessing game who you're looking at.
Most startlingly, Moore includes the most offensive fictional character ever created, at least to modern eyes. Of course. Inevitably. Anyone surprised by this hasn't realised what they're reading. (For what it's worth, the original Golliwogg was a popular and positively portrayed children's character by Florence Kate Upton. He wasn't even naughty. That was added by Enid Blyton, who could use the character freely because Upton never patented him. His name only later became an ethnic slur, while of course a Golly was still the Robertson jam company's mascot even at the start of the 21st century.)
I wouldn't particularly recommend this, but it has high points. The actual Black Dossier bits can be funny and/or interesting, but their lack of story content can also make them boring (e.g. Orlando's life) or not obviously worth reading in the first place. As far as I'm concerned, this is a 100-page or so story-oid with lots of skippable interleaved extras. (Murray and Quatermain are once again plot passengers, but the story of Jimmy, Miss Night and Uncle Hugo ends up going somewhere.)
Besides, now the League's complete (unless Moore and O'Neill change their minds), I think it's easier to take the long view regarding the bumps in the road. There are four Volumes, one of them monster-sized, plus Black Dossier, the Nemo trilogy and other things Moore wrote that aren't part of the League but also aren't a million miles away. With all that stacked up, it doesn't feel as if it matters so much that the Black Dossier is a side-step. It's easier to be phlegmatic about Century. The whole is more impressive than the weaker parts.
Ultimately, I read this because it's by Alan Moore. It also has amusing cameos. Blackadder and Baldrick are visible in Orlando's story, while the TARDIS appears on the map of the Blazing World. It's okay. It's going cheap on Amazon, so pick it up if you're a Moore fan. You're not losing that much if you skip it, though.