In a scenario, say that:
Vectors $\mathbf{U}$, $\mathbf{V}$ and $\mathbf{W}$ are all orthogonal such that the dot product between each of these $(\mathbf{UV}\;\mathbf{VW}\;\mathbf{WU})$ is equal to zero.
I imagine that for any potential vector space $\mathbf{R}$ this would only be possible in two situations.
1) $\mathbf{U}$, $\mathbf{W}$ and/or $\mathbf{V}$ is the zero vector.
2) $\mathbf{U}=(1, 0, 0)$, $\mathbf{V} = (0, 1, 0)$ and $\mathbf{W} = (0, 0, 1)$.
Is there any other situation where three vectors are all orthogonal to each other?

There are infinitely many possibilities. $(1,0,0), (0,1,-1)$ and $(0,1,1)$ is one example.