Shopify have added return statuses through GraphQL API but not available for REST API if you are using that one.
https://shopify.dev/docs/api/admin-graphql/2023-01/objects/Return
Topic summary
Main issue: developers sought an API to manage and read customer-initiated returns (distinct from refunds) and to sync return statuses with external systems (e.g., 3PL = third-party logistics, finance suites).
Early status: Shopify staff confirmed no API for customer-generated returns, only refunds (with optional restock). Return-related states (e.g., “Return in progress”) weren’t accessible via API, webhooks, or order metadata, creating gaps for integrations and reporting.
Pain points: inability to set/query return status, automate warehouse restocks, or align app-driven returns with what appears in Shopify Admin. Using refund with restockType was described as insufficient for order line visibility.
Updates: Mid-thread references indicated Shopify was working on a Return API (Beta announced in Summer 2022). Subsequently, return statuses became available via the Admin GraphQL API (not REST), including a Return object. A newer docs link points to building returns apps and Return API endpoints.
Current outcome: Contributors note the Return API now exists via Shopify’s returns apps/GraphQL documentation, suggesting the thread can be closed. REST parity remains unspecified in this discussion. A screenshot illustrated “Return in progress” but was not essential to the solution.