That was an unfortunate buying decision. You cannot ship the phone back to the US for refund as it must be returned to the country of purchase for refund. And you have missed the 14 day return window. Had you been within the return window, you would have needed to hop on a plane and come back to the US to return the phone.
Since you don't even qualify for a refund at this point, see if you know anyone in the US who you could sell the phone too. Next time you buy a new iPhone, buy it in your country where you know it was made to work AND where you would have warranty as the phone you purchased in the US has no warranty in Egypt either.
If by chance, you thought you were saving any money buying an iPhone in the US, when you live in Egypt, your assumption failed big time, unfortunately.