Why is it when on my apple tv app, when I download a tv series it'll only play in French?
Is this “download” about ① streaming playback, or ② actually downloading a media file on Mac, or iPhone, or iPad, for offline use?
Have had two different series do this. Movies will play in English but shows in French?
Could it be that you are in Canada? TV shows there may be available in different languages as separate Store items. Get the right one, else you are stuck with an unwanted dub.
How to I change this and if I can't how to I get a refund?
See if you can find both languages editions in the Store. If you disclose the TV show title, then we can look as well.
The French edition would have a French description, often a “(VF)” in the title, and would say “saison” instead of “season”.
If you purchased the wrong edition, then contact the iTunes Store staff to assist you in undoing the unintended purchase and re-doing the correct purchase.