We experimentally demonstrate third-harmonic generation (THG) in gases ionized by a femtosecond laser pulse superimposed on its second-harmonic (SH). The mechanism of THG has been investigated, and it demonstrates that a third-order nonlinear process dominates at low pump intensity. Asymmetric third-harmonic (TH) spectra are observed at different time delays in two color fields, which are attributed to the process of the four-wave mixing (FWM) of the broad spectrum of pump pulses. A joint measurement on the terahertz (THz) and the TH is performed. It reveals that the optimized phase for the THG jumps from 0 to 0.5π as the pump intensity increases, which is different from the THz being a constant, and indicates that the THG arises from the nonlinearity of the third-order bound electrons to the tunnel-ionization current.