We bought an Apple Watch and I sent it back and now they want me to erase it from my iCloud account and I don’t have the watch on my iCloud account

If you paired the watch to your iPhone and did not unpair the watch from the phone before returning it, then the watch is under Activation Lock to your Apple ID and is unusable by anyone else.

Remove  Watch Activation Lock -

Go to icloud.com and login

Open Find iPhone.

In the All Devices pulldown menu select the Watch.

In the resulting sheet that appears to the right choose erase Apple Watch. Select Next until the device is erased.

Then Remove the watch from your Apple ID.

This should reset the watch to the factory settings.

M1 Mac mini, macOS 11.1; Watch, series 5 GPS/cellular, watchOS 7.3.3; iPad Pro 2nd Gen, iPadOS 14.4.2; iPad Air 2, iPadOS 14.4.2; iPhone 12 Pro, iOS 14.4.2; TV 4th Gen, tvOS 14.3  HomePods, audioOS 14.3 and Airport Express w/ Airplay 2