I'm really sorry to hear about Max.
That's an awful way to lose a betta.
I can contest to the return policy, however: Tisia is correct, and you can get a refund pretty much for whatever reason. Depending on the store, you could get a refund even without the receipt -- there's only certain items for which a receipt is absolutely necessary, and I don't recall tanks being one of them (mostly things like electronic collars).
You'll be asked the reason for the return, but that's typically only because the system asks in order to process the return.
Also, to make it a little easier for you, if you're purchasing other things in the same visit you can do the return in the same transaction -- just let the cashier know before they start ringing anything up.
I'm guessing you bought Max at PetSmart? If it's not too late, you might be able to return him as well (callous as that sounds) in exchange for a new betta. If that's not possible, call up the store and explain the situation and see if you can work something out: some managers are willing to work with customers in such situations. It's worth a shot at the least.