It is the back button of the town menu, functioning similarly to Leave. Return bring back to where it had come from.
By using the Return when inside the town facilities, it brings back to the town menu where choosing the town facilities is the default. Pressing the gamepad's X would highling the town menu to World Map.
When shifting pages with △ in Character Status, it goes back to the Character Status menu. Similarly, when the Camp Menu is brought up, X and Leave brings it back to the dungeon.
X when opening the System Menu does the same thing.
However, once in the World Map where the dungeons are laid out, there is no Return button, and it simply brings up to the Kingdom of Ishmag at the top. Shifting towards other settings with R1 and L1 does the same thing.