Please make sure that all three or more files you are selecting are not missing from your Lightroom catalog and also did you recently installed a Plugin/Preset in any of the two products?
Is Lightroom up todate?
What version of the mac OS are you using?
Does the problem still happen if you manually start PS before doing the LR open command?
I'm using OS X El Capitan.
Yes, it also happens. I tried to open PS, then do the "Edit In + Open as Layers in Photoshop" command, and gives me the same error. I believe that the photo I published here, was after doing that.
It happens right after I edit the photos in Lightroom, so they're in the catalog and in the right folder.
LR and PS are in the latest versions available.