As mentioned, some states have sore-loser laws: you can't appear in the general if you lost in a primary.
I don't care to attempt to read what's in his mind , but my WAG is he wouldn't attempt an independent run in the general under those conditions. I mean, it would be a great method to extend the girft, but it would be work. And doomed to fail due to electoral math.
(Having said that, it would almost guarantee Biden's re-election.)