Actually the central part of my OP was about this being his first child and my 3rd child and if it is appropriate to have another shower. What does who is throwing have to do with if it is appropriate or not?
Here's the Cliff's Notes version of your OP:
This is my 3rd child, his 1st, but we didn't save ANYTHING, so is it okay to have another?
Do you see how that logically reads as "We want people to buy us stuff"?
The point PPs made about who is throwing it is because it's his first. Many on this board believe that the purpose of a shower is to shower a NEW mother with gifts. Your family has already showered you with gifts...twice...hence their responses about it being fine for his family to throw you a shower, but not yours, which has already done this. However, many of us also make exceptions for family traditions. If everybody in your family always has showers for subsequent children, fine, go ahead and follow tradition. However, I have to ask, if this is your tradition and everybody does it, then why did you need to ask about it here?