Cannot encrypt a Flash Drive

A new SanDisk Extreme SSD flash drive had been erased using all formats available Mac OS Extended (Journaled), Mac OS Extended (Case-sensitive, Journaled), MS-DOS (FAT), and ExFAT. The option to convert to APFS is available only when erased with the Mac OS Extended formats. While trying to convert it to APFS format, a message appears that the operation failed as "A GUID Partition (GPT) partitioning scheme is required" and thus that the "Operation failed." If the flash drive cannot be encrypted it would useless and could not be returned as it has been already used. Please advice if there is a way to encrypt this flash drive. Thank you!