We know that $BO(1) =\mathbb{R}P^\infty$ has closed, finite-dimensional manifold approximations $\mathbb{R}P^1\subset \mathbb{R}P^2\subset\cdots.$
Similarly $BO(2)$ can be approximated by closed, finite-dimensional manifolds, as follows. There is a fibration $$ BSO(2) \to BO(2) \to BO(1), $$ where the projection is given by the determinant. Both the base space $BO(1)=\mathbb{R}P^\infty$ and the fibre $BSO(2)=\mathbb{C}P^\infty$ can be approximated by finite-dimensional manifolds. Hence the total space $BO(2)$ can be approximated by the Dold manifolds $$ P(n,m) = \mathbb{C}P^n \times_{\mathbb{Z}/2} S^m,$$ where the generator of $\mathbb{Z}/2$ acts on the sphere by $-1$ and on $\mathbb{C}P^n$ by complex conjugation.
Do similar closed, finite-dimensional manifold approximations exist for $BO(3)$?