Each of these are used for different functionalities. I dont see a way how these statements would affect the performance in any way. Any reason why you are trying to figure out the performance impact of these 3 control statements?
The use of break and continue is frowned upon more because it makes for confusing code than for any performance issues. You can't avoid using return. Every method has to return some time or another. There is also a rule of thumb that one should not return anywhere but the end of the method because it is difficult to find return statements buried in code and can confuse readers.
When you talk about performance impacts, you must always be comparing two options. You can't say something is "better" without saying what it is better than.
Now, for example, what are you comparing "return" to? Not returning? The other thing you must always consider when comparing the performance of two options is that the two options must be doing the same thing. Otherwise your comparison is worthless.
In any real application this would not be a bottleneck, and so you will find most developers won't know much about the performance characteristics of the keywords you mention. Even if there was a difference it likely would be different between VM's, and versions of the jdk.