This is possible with a workaround.
Navigate to Return-Settings / General / Return Methods
Enable e.g. the In-Store Return option and click save
Go to Translations / Customize / Select your primary language / Activate the language
Search for "Return in a local store" on this page
Replace the text for this option with your desired return method, e.g. "Pick Up"
Click save, the changes will be available instantly
The customer will now see the option appear with the text you have set
The option will show up internally for you in the merchant dashboard as In-Store return