Triathle is a sub sport of Modern Pentathlon and involves a shoot, swim, and run. It is a world class sport, but not an Olympic one. The legs are raced with continuous transitions much like triathlon.
Originally invented to create opportunities for training under real race conditions, Triathle has now developed into it's own sport expanding rapidly around the world.
The Triathle World Championships have been held every September or October annually since 1999. Approximately 800 athletes have competed at each addition of the championships, representing some 50 countries.
For more information check out these resources:

Triathle Videos
Triathle Events