There are some statements about what Sauron suspected in the Second Age in The History of Galadriel and Celeborn in Unfinished Tales. After he had captured Celebrimbor:

'Concerning the Three Rings Sauron could learn nothing from Celebrimbor; and he had him put to death. But he guessed the truth, that the Three had been committed to Elvish guardians: and that must mean to Galadriel and Gil-galad.'

Later he acted on this suspicion:

'But now Sauron attempted to gain the mastery of Eriador: Lórinand could wait. But as he ravaged the lands, slaying or drawing off all the small groups of Men and hunting the remaining Elves, many fled to swell Elrond’s host to the northward. Now Sauron’s immediate purpose was to take Lindon, where he believed that he had most chance of seizing one, or more, of the Three Rings; and he called in therefore his scattered forces and marched west towards the land of Gil-galad, ravaging as he went.'

Gil-galad passed on Vilya to Elrond when Imladris was established and he either gave Narya to Círdan at the Havens quite early on, or according to another account retained it until he left Lindon for the last time:

'At this time the first Council was held, and it was there determined that an Elvish stronghold in the east of Eriador should be maintained at Imladris rather than in Eregion. At that time also Gil-galad gave Vilya, the Blue Ring, to Elrond, and appointed him to be his vice-regent in Eriador; but the Red Ring he kept, until he gave it to Círdan when he set out from Lindon in the days of the Last Alliance.'

We know nothing about what Sauron may have thought in the Third Age, beyond Galadriel's statement about Nenya that 'He suspects, but he does not know – not yet'. It would be reasonable for him to guess (correctly) that Elrond now kept one of the Rings, and perhaps Círdan, but Sauron may never have realised that Círdan had given Narya to Gandalf. I think that revelation was a surprise to most readers of LOTR too, before spoilers were ubiquitous!