Any night of sexual activity consisting of the entire trifecta of penetrating sexual acts. The official order consist of oral, vaginal, and finally anal sex. However, if used as "we might as well have pulled a triathlon" it's understood the acts were there, but not the order.
A reverse triathlon would simply be the acts in reverse order.
If I really like the guy I let him run the triathlon on me, but no one is going backwards on me, that's just dirty.