So my question is just like the subject. I'm going to build a guitar with hsh and was thinking about having a volume knob for each pickup and then a master volume and master tone. Is there any issue with having 3 volumes running into a master volume? I wouldn't think so but I don't think I've ever seen it so I wasn't sure if there was a reason... probably all 500k pots.

No issue other than that it's a bit clunky for most people. A bunch of Gretsch guitars have that setup, albeit with two pickups.
In my homemade guitar I have 2 humbuckers and the neck pick up has its own volume and then there is a master volume for both pickups and it all works dandy. Both pots are 500k and I haven't suffered any tone loss or any odd and unwanted side effects.
Reinhardt 18 Head
H&K Tubemiester 18 head
Blue 6505+ head

TC Electronics G Major
MXR phase 90, Pigtronix Echolution 2
Digitech Whammy (5th gen)

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