Shuriken are not ammunition though.
It say they're thrown weapons, so I'd say that they can be returning. They'd just be expensive returning weapons that may or may not get destroyed when used. Fortunately, I'm pretty sure (but don't remember for sure) that magical ammo is cheaper than a magical weapon (but you can reuse the magical weapon)
Another problem (if not strictly answering the OP) with returning flurry weapon:
Isn't there a clause about needing a hand free to catch the returning weapon?
So unless your flurry = 2, or you have >2 arms/catching appendages, things will start gathering at your feat requiring you to pick them up (with all associated problems).
I advise the OP to just buy a Necklace of Natural Attacks from Savage Species and apply the Throwing and Returning enchantments to it.
I think you'd need Quick Draw if you're going to flurry with more than 2 attacks, since you'd throw your two sai, and then be out of ranged weapons for throwing.
But if drawing ammunition is a free action, presumably dumping it back is a free action as well, so I think it would work. Noneconomical though - how many returning shurikens can you afford & couldn't you do something better with the money?