Aww, I'm sorry about the allergies. Maybe check with the vet or your own doctor to see if there's a hypoallergenic shampoo or something you could try on him before returning him. Or check with the person you got him from to see if they might have put some sort of perfume or something on him prior to you picking him up. I'm not familiar with allergies but maybe it's your body adjusting to the new dog? If you're having trouble breathing that might not be the case, though.

Sorry for your disappointment. It's so easy to quickly become attached to a pet.