Knight made a 25-foot birdie putt on the par-3 18th in windy conditions at Midland Country Club to break the tournament alternate-shot round record and 54-hole scoring mark at 18-under 192.
"It's so awesome," Szokol said. "We love this event. It's so fun that Dow does this for us. It's such a unique format, and this is the only (team) event we get to play this year. It's amazing to be in the record books at this event."
Matilda Castren and Kelly Tan were second after a 68. They finished second last year.
"We're just going to really try and go out and have fun tomorrow," Tan said. "It's best ball, so we're going to make birdies and hopefully we'll see where it puts us at the end of the round."
Knight won the 2019 Ascendant LPGA for her lone tour title, while Szokol is winless. The US duo tied for fourth last year after missing the cut in 2021.
"We're really good friends, so I think we're very comfortable playing together," Szokol said. "We know each other really well and I have so much trust in Cheyenne's game. That makes it so much easier for alternate shot."
Knight and Szokol also started fast with birdies on three of the first holes. They dropped a stroke on No.8, and played the back nine in 6-under 29. They had a 61 on Thursday in better-ball play, also the format for the final round Saturday.
"We tried not to psych ourselves out with alternate shot because it is such a hard format," Knight said. "I think we told each other yesterday, 'you can make birdies in alternate shot.'
"I think you just kind of have to have the mindset like you can make birdies and just try to be aggressive and fearless rather than try not to make a mistake."
Jodi Ewart Shadoff and Emma Talley are tied for third at 13 under with Celine Borge and Polly Mack. Shadoff-Talley shot 70, and Borge-Mack had a 68.
Stacy Lewis and Maria Fassi were 12 under with Celine Boutier and Yuka Saso. Lewis-Fassi had a 66, and Boutier-Saso shot 70.
Second-round leaders Paula Reto and Amelia Lewis had a 73 a day after shooting a 61 in better-ball play. They were tied for seventh at 11 under with Ana Belac and Bianca Pagdanganan. Belac and Bianca Pagdanganan had a 66.
Australian Sarah Kemp and Canada's Alena Sharp are tied 16th at six under, while Karis Davidson (Australia) and Ecuador's Daniela Darquea are one further behind.
The all Australian pairing of Hannah Green and Su Oh are at one under.
15°C