What is commonly said is that the only cannon Klonoa games are Door to Phantomile for the PS1, and Lunatea's Veil for the PS2. The rest is considered non-cannon and people will constantly wish for, out of all things Klonoa, specifically "Klonoa 3", but...
I think it's not the case, a cannon doesn't exist in Klonoa really.
They are dreams afterall, they can be whatever they want, and have their own self-contained stories, but, it's not something that is cohesive or really connected with any other game. Klonoa 2: Lunatea's Veil is given the title of cannon because, well, the end has, a bit to do with Door to Phantomile's, and, there is that sweet sweet "2" in the title, but, it means nothing for me the 2, technically Moonlight Museum is more of a "Klonoa 2", but, then again, is any of these games even cannon? They are all cannon, or not cannon, a dream, shouldn't have much cohesion with another, besides, the trick about Klonoa games is that, you can start with any game (except for PRS, you have commited a crime for starting with it or buying it), and play any game in order, because, well, they are all self-contained stories, and one is not needed with the other.
Klonoa
3 is not needed, it doesn't have to be titled Klonoa 3 to be worthy, it can be, well, anything really.