Consider the figure that you provided, remove the point $H$ from the polygon and move the point $J$ of the polygon one space up to become $J'$, so that it is the grid point adjacent to the points $I$ and $J$. Than the polygon $J'IGLKJ'$ contains the only three internal grid points $M,N,O$ and the vertices clearly do not lie on a circle.
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Would this qualify as a counterexample (J - I - H - G - L and then the red sides)? It is a polygon, it has vertices on a grid, 3 interior points, and no 3 vertices lying on the same line.
The answer is no.
Consider the figure that you provided, remove the point $H$ from the polygon and move the point $J$ of the polygon one space up to become $J'$, so that it is the grid point adjacent to the points $I$ and $J$. Than the polygon $J'IGLKJ'$ contains the only three internal grid points $M,N,O$ and the vertices clearly do not lie on a circle.