How to return the wrong Apple Pencil I bought?

You did purchase the wrong Apple Pencil. You should have purchase the First Generation Pencil for an iPad 9th Gen.

You have 14 days from date of purchase to return an item to Apple (assuming you bought it from Apple directly. See this link for returns --> Returns & Refunds - Shopping Help - Apple

If you purchased from a different seller, you'll need to contact them for their return policy.

If you ordered it at Apple Online Shop (and it hasn't been shipped yet):--> Viewing & Changing Orders - Shopping Help - Apple

or, if it has been already shipped, do not open it, and return it within 14 days (even at an Apple Store).

Yes, iPad 9th gen doesn't support Apple Pencil 2nd generation.

Regards

Giulio