The only verified example of a family producing three consecutive generations born on 29 February is that of the Keogh's. Peter Anthony (Ireland) (b.1940), his son Peter Eric (UK) (b. 1964) and his grand-daughter Bethany Wealth (UK) (b. 1996) all celebrate their birthdays infrequently every four years.
Since 1,461 days are in each four-year period, the probability that one person is born on February 29 is one in 1,461.
Comments below may relate to previous holders of this record.