Trump did run as third party. Several times. He dropped out every time without winning any delegates. 2016 was not his first rodeo, just the first one he finally convinced the RNC to nominate him.

There's a reason you want to be under one of the big tent parties. They get more funding to campaign and they get party hardliners basically for free. Adolf Hitler could run as a Republican and you'd still see lifelong Republicans turn out to vote (R) down ballot regardless.