So my question here has two levels to it.
1) Are you able to throw shields? I assume you can under the improvised weapon rules considering attacking at all with a shield is "as if you're attacking with an improvised weapon" (which is really odd to begin with, shields ARE weapons).
2) If you put Returning on the boss of a shield, and throw the shield as an improvised weapon... does the shield return to you?
Returning can only be attached to a thrown weapon. If that weren't the case, I don't think I'd have a good answer for you.
Guess this means Captain America style shield throwing doesn't exist in this game then. Which is odd. Hopefully they bring back the "throwing" shield. Seems strange you can throw a club but not a shield (even a light shield).