Hello, and welcome! I'll try and answer some of your questions.
Firstly, it is very likely all three of the females are pregnant if they were in a mixed sex cage. The average mouse litter is about 6-12 babies, with some having as many as twenty in one litter! You're shortly going to have your hands very full 
A twenty gallon is more than enough room for up to about six females. Males from the same litter can usually be kept safely together so long as they have enough room, enough food dishes, and enough hiding spots to have their own little territories. I keep no more than four males to a twenty long, each with his own house. Even then, you have to watch them to make sure they're not harrassing each other. If they fight (blood drawing fight, not normal wrestling/squeaking), or if one is being kept from the food and water and is visibly stressed, they will have to be seperated.
But, back to your girls. Mouse gestation is about 21-24 days. If you have no babies in a month, you will have no babies. You'll swiftly be able to tell if the females are pregnant. Their tummies will get visibly fat roughly a week or so before delivery. They'll look like little pears, or lightbulbs. HOWEVER, some females will stay skinny and suddenly pop out a litter of ten, so until the month has passed you can't be a hundred percent sure they're not pregnant.
Give them small amounts of kitten food to help with their protein buildup. Pregnancy and nursing are hard on little mices, and they need the extra nutrition. If they are not pregnant this will not harm them, but if you see patches of fur starting to go missing, cut down on the kitten food. They may be getting too MUCH protein.
If they have babies, it's okay to keep the females all together. They will help each other nurse and take care of all the babies in a big group. Contrary to popular belief, its rare for a mouse to eat her babies. If she does, it's usually due to a problem with the pup itself, she has too many to feed properly, or she is simply too young and doesn't know how to deal with them. Leave the nest undisturbed for a day or so following the birth, but after that it's important to start handling the babies. Remove the mother(s) from the tank and check over the kiddos. Remove any dead babies the mother hasn't eaten, and any bloody debris you might find. Count them over, and check their tummies for white bands. This indicates they're nursing well. Put the nest back the way you found it and put the females back.
Handle the babies at least once or twice every day. The more you handle them, the more friendly and sociable they will be when they get older. Just be careful, especially when they are in the 'popcorn' stage. They will suddenly pop right out of your hands and can be injured if they fall too far.
It's possible to sex babies from birth but I find its a lot easier and more reliable if you sex them just as their fur is coming in. The fur grows around the nipples, making them very obvious. Girls have nipples, boys do not. It's as simple as that. Males must be seperated from the females at about five weeks of age. They will be weaned and should be eating solid foods at this time. If they are not seperated, they can and will impregnant the mothers and all their sisters.
I tend to avoid cages with those plastic hamster tunnels. They are a pain to clean as mice will pee in them, and a really dedicated mouse can chew through the plastic and escape. Mice are happy with a few hides, some toilet paper or paper towel tubes to chew, and a wheel or two.
As for the difference between fancy and common mice, it varies between pet stores. Down to the meat of it, there is no difference. They are the same breed and species. Most pet stores label them 'fancy' if they are pretty or uniquely colored, or have one of the more rare coat types (rex, angora, long-hair fuzzy). They label them common if they are small, or are the traditional 'feeder' pink-eyed white.
Some pet stores get their mice from two seperate sources...one that inbreeds and mass produces, and one that specializes in the more unique colors. The inbred ones are 'common', the others 'fancy'. But it is all in a name. There really is no difference, and it's mainly an excuse to charge more for a 'fancy' type mouse...though that fancy mouse may be brother or sister to half a dozen mice that were plopped in the 'common' tank for not being unusual enough.
Anyway, I hope this was helpful. One really good mouse sight to visit is http://www.mouse@horns.com
They have all sorts of information on litters, care, and varieties of mice.
All the best of luck!
