It's a wound that will never heal; Half-Life 2 never got the proper sequel it deserved. Indeed, Valve seems deaf to the pleas of players who are still waiting to know exactly what those pesky aliens from Xen really wanted, and who G-Man is.
What we do know is that Valve has worked on the game at various points, and that one of the prototypes was for a strategy game. This was revealed by Andrew Reiner from Game Informer, with the news coming in their latest episode of Best Theories, where he said:
"There were so many different prototypes being worked on by small teams of four or five people. It just never got off the ground. They said two of the directions they were going in: one was going to be an RTS game for Half Life 3 or Episode Three, whatever they were going to call it that changed the script.
"The other involved live actors. It was going to be a new kind of adventure action game with actual actors. Kind of like Night Trap, but far advanced. Apparently they were working on these things."
If you want to check out the episode, you can do that here.