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I can’t give you a definitive answer without knowing all the relevant facts. Depending on the facts, there might or might not be a problem with returning the car and terminating your contract.
First, you need to review any contracts you signed -- purchase contract for the car, loan agreement and/or promissory note, etc. -- to see what they say your rights and obligations are. They might state that you have a right to return the car and cancel the contract(s).
Even if you signed a contract that is binding and does not explicitly state that you have a right to cancel or return the car, it's possible you might still have the right under Arizona law (assuming you bought the car in Arizona) to rescind (i.e., undo) the contract and return the car without penalty if you entered the contract in reliance on a misprepresentation by the seller, subject to an agreed upon condition (e.g., financing), or based on a mistake of fact basic to the transaction. For example, if you agreed to buy the car only the stated condition that you would receive financing or the dealer told you that you had been approved for financing, and now the dealer is telling you there is no financing, then you might have a right to rescind the contract and return the car without penalty.
I can only say this is a possibility, and I would have to first find out all the relevant facts and review any relevant documents to be able to give you a definitive answer. Feel free to contact me if you need more assistance with this.