Yes you can return a fuel pump or any other part to AutoZone as long as you have the original packaging and have the receipt for proof of purchase.
So if you bought the wrong part such as the wrong fuel pump or the fuel pump or part happens to be defective you can easily return the fuel pump or any other defective or wrong part to AutoZone as long as you can bring in the receipt along with the part.
If you do not have the receipt with you to return the fuel pump or part then AutoZone will not be able to take the part or fuel pump back.
So make sure you keep all purchase receipts in a safe place preferably in your vehicle or with the part you purchase so that you can easily return items you need to return to AutoZone or other parts stores.