They may or may not have a return policy. I doubt you can keep the dog AND get money back. You may live in a state that has a puppy lemon law, but I think that applies to health problems.
Papers don't mean anything. It just means both parents were registered.
Pet shops get their pups from puppy brokers, who get theres from USDA dealers (puppy mills). You're not the first person to experience problems with pet shop pups.
If you do decide to return the pup, please look into either purebred rescue or ask around for a reputable breeder. It will cost you less money.