I have never seen any store that did not say "All firearms sales are final!"
However, I have returned two over the years: One to Cabela's (recently), and one to Dick's Sporting Goods (many years ago). The Cabela's return was a "defective by design" on a Kimber. The Dick's return was a case where they advertised one thing, but delivered another. In that case, they advertised a Savage with an AccuTrigger, but when I got home it did not have an AccuTrigger. I did not notice that in the store, because they had a trigger lock on the gun, obscuring the trigger. And they did not give me the gun for inspection without the trigger lock at purchase time. They put it into the box and taped that up. Now I know - never accept delivery of a gun that you cannot FULLY inspect, including the trigger. That is a lesson I learned from my ordeal at Dick's. These days, if the store policy is "we do not let you handle guns without trigger locks", I tell them "I do not buy guns from stores that have that policy". Also these days, if they won't let me dry-fire the gun to test the trigger, or dry fire it with snapcaps (which I always bring along now), I tell them "I will not buy a gun that I cannot FULLY function test". But to their credit, Dick's did take the firearm back. But it required several days, multiple contacts on my part, escalations to many managers, and clearance from corporate to get them to do that. But I was persistent and firm in my demands, thus ultimately successful. The Cabela's return was a piece of cake. They immediately agreed that the Kimber sucked and promptly game me my money back. Neither the Cabela's return nor the Dick's return had been fired.
Policies are not written in stone, at least not at all retailers, if you make a reasonable case about why a return is warranted. All retailers claim sales are final. Some retailers may write that in stone. Others may only write it in soft clay. They of course WANT you to think it's written in stone, and if you don't ask and pounce on any weakness you observe, you don't find out the real truth.