If I purchase an item online, can I return it to the Natick retail store to avoid paying return shipping?

Check the store's website for their return policy or call the store. Keep in mind that some sites are running limited hours, so call before you go.

Each store is going to have their own policy. What store is it from?

Agreed with Anthony, e.g. Macy's and Uniqlo stores allow it

That's a question for the actual retailer because it could honestly depend on their individual return policy.