Is it possible to somehow connect this air conditioner? Would I have to simply change the outlet receptacle to the one it could connect to? Can I buy some sort of an adapter? Is it easier to return this air conditioner and get a 110V?
No, there is no magic doohickey to solve this problem. Not least because it introduces a bunch of other satellite problems.
These aren't like "Windows vs Mac" 2 incompatible flavors of the same thing 240V is actually more powerful, so an A/C unit would not be made 240V unless that was necessary to power its functionality. So a 240V A/C will probably overdraw a 15A circuit even if you used the (non-cheap) tech to convert.
The right thing is to take it back and get an appropriate A/C. How did the salesman not have this conversation with you and make sure you had 240V power available? Don't do business with them again, they stink at their job!