Won't work.
https://support.apple.com/HT204592
"A Mac that's connected to an iMac in Target Display Mode can't use the iMac computer's built-in camera, its USB, ThunderBolt, or FireWire ports, or devices connected to those ports."
Also you would have three displays on one Thunderbolt bus (on the MacBook Pro), which Apple has never supported, and would exceed the bandwidth of Thunderbolt-1, which is used by the Thunderbolt display.
Also:
"Avoid trying to connect (chain) iMac computers that are in Target Display Mode to each other. Each iMac in Target Display Mode should be connected directly to a Mini DisplayPort or ThunderBolt port directly on the Mac where you want to use it as a display."
This might also mean it won't work daisy-chained through a Thunderbolt display, but it's worth trying. If it doesn't work, you can use an extra port on the computer and a second Thunderbolt-3 adapter.