Can I return my new phone for an exchange even after opening the box and transferring all my data to it

Check the store's return policy; Apple generally offers this within 14 days on hardware.

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What to do before selling or giving away your iPhone, iPad, or iPod touch "Use these steps to remove your personal information from a device, even if you don't have it anymore." Click here --> What to do before you sell, give away, or trade in your iPhone or iPad - Apple Support

I'd also do that if returning a device if you have data on it.