How can I return a found Apple Watch Ultra?

Its owner would need to mark it as lost. Excerpted from If your device is lost or stolen - Apple Support:

"If your Apple Watch goes missing, you can immediately lock it from iCloud.com or your paired iPhone. Just place your watch in Lost Mode. Then you can send it a custom message with your phone number. So if someone finds your Apple Watch, they know how to contact you."

Having found it, all you can do is what you did. Consider surrendering it to local law enforcement if you have reason to believe they are trustworthy, but if its owner chose not to set up Find My prior to losing it I suppose he or she wasn't all that attached to it anyway.