Today over lunch, Lisa suggested a winter sport that I think would be the equivalent of Triathalon, because it would involve skills from three different-but-related disciplines.
This would be a timed sport, not a first-across-the-finish-line races, mainly for safety reasons. Skiers would start with an Olympic downhill course, with staggered starts at intervals since you should only have one racer on the course at a time. Immediately at the bottom of the course, racers would start a cross-country course -- distance to be determined, but if it were really Triathalon, the monster 50 km course would be indicated. Rather than just being lap racing, the course would have a general uphill trend so it would end at a higher altitude than it finished, to leave room for the final leg, which would be a skicross course. Unlike downhill, you can and do have multiple racers on the course simultaneously, so it's okay if there's a log-jam at the end since total elapsed time rules.
This would require someone to be able to work in all three ski disciplines: alpine, nordic, and freestyle. Whether you'd oblige people to use the same equipment for all three is debatable. Lisa says you should, and therefore have to compromise rather than using the optimal equipment for each discipline.
Will it happen? Never, I think. But I also think it would be fun.