Look, a fetus is originally formed with the potential to go two ways: male or female. Not three, not four, but two.
This is sexual differentiation, and is regulated by a bunch of different genetic factors.
Unfortunately, the system screws up sometimes. The body or the brain may not fully masculinise or feminise, and you end up with an intersex individual.
For example, 46 XY Intersex. The person has the chromosomes of a man, but the external genitals are incompletely formed, ambiguous, or clearly female. It can be caused by a genetic defect which means that the individual lacks an enzyme which is necessary for producing testosterone.
These individuals failed to fully develop in males or females, that doesn't mean they constitute a new sex.
You can interpret it as a new sex if you want to, but it's not. They aren't going a different path, there is no hormone for that third sex. Just because something went wrong doesn't mean that the individual is classed as a different sex, just like how if you're born without limbs you're not classified as a different species.