It is possible to add custom return methods, with a slight twist.
Navigate to Configuration -> Returns -> Return Methods.
Enable e.g. the In-Store Return option and click Save Changes.
Go to Configuration -> Translations to customize 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. "Schedule a Pick-Up".
Save the changes and you're done! The customer will now see the option appear with the text you have set.
Limitations
The option will show up internally for you in the merchant dashboard as In-Store return.