The scattering matrix theory has been developed to calculate the third-order nonlinear effect in sphere-graphene-slab structures. By designing structural parameters, we have demonstrated that the incident electromagnetic wave can be well confined in the graphene in these structures due to the formation of a bound state in the continuum (BIC) of radiation modes. Based on such a bound state, third-harmonic (TH) generation and four-wave mixing (FWM) have been studied. It is found that the efficiency of TH generation in monolayer graphene can be enhanced about 7 orders of magnitude. It is interesting that we can design structure parameters to make all beams (the pump beam, probe beam, and generated FWM signal) be BICs at the same time. In such a case, the efficiency of FWM in monolayer graphene can be enhanced about 9 orders of magnitude. Both the TH and FWM signals are sensitive to the wavelength, and possess high Q factors, which exhibit very good monochromaticity. By taking suitable BICs, the selective generation of TH and FWM signals for S- and P-polarized waves can also be realized, which is beneficial for the design of optical devices.