Mapping 2D to 3D

But there's no reason for the user to do that when using the plotting function.

I should amend the above.
There's no reason for the user to do that (compute a third "variable"
representing density), if using a high level plotting function, that's
designed to compute the density for you.

It is possible to do it in two or more steps.
(Compute the density matrix, then plot it).

Again, refer to the help file for kde2d.