Had to try it out -- there is indeed a dissonant resultant, not from a major third, but from a TRIAD -- probably from the major third/fifth conflct of overtones.
BUT!!! compare the sine waves with an equal tempered third: it is much, much, much worse.
Listen to
http://mysite.verizon.net/guglielmo/sine_torment.mp3the first, sine waves at 250, 500, 750, 1000 (C) , 1250 (E), 1500 (G)
the second, sine waves at 250, 500, 750, 1000 (C) , 1260.2 (E'), 1500 (G)
!!!
([edit] John A -- I believe DG was saying the PURE major third causes the dissonance. S/He used the word 'tuned', anyway.