The bad news
I searched the documentation, marketing blurb and/or control panels for the best-known affiliate networks: Clickbank, Amazon Associates, Linkshare, Commission Junction, and buy.at. None of them offer a 'return URL' for affiliate accounts that I could find. Some offer a return URL for seller accounts, often via the third-party payment service, but that doesn't help you much.
The good news
It's still possible to do what you describe and reward members who purchase through your affiliate links. Instead of using a return URL, you'd use the purchase notification service (sometimes called a 'callback' or 'trigger') that affiliate networks provide to confirm that a click resulted in a sale.
How it works (Clickbank example)
Clickbank provides an instant notification service that issues an HTTP POST request to a URL on your website when one of your members clicks an affiliate link and purchases the product.
This allows you to create a PHP script (for example) on your site to capture the customer's name, email address, purchase amount, and a number of other post parameters as listed under the 'getting started' section on this page. Your script could also apply rewards to that member's account, email bonus products to them, email them with thanks and details of rewards applied to their account, add their email address to third-party newsletter systems, and much more.
Clickbank also pings the same URL you specify when a customer's order is refunded, which would allow you to remove any points or rewards issued to that member if they purchase a product but then claim a refund. This is a good advantage over the 'return URL' reward system you were thinking of using, which wouldn't take refunds into account.
If you're not confident working with Clickbank's notification service, paid scripts are available that help you set up bonus systems. Unfortunately, the ones I found are sold with sleazy titles, cringe-worthy sales pitches and hideous 'WAIT!' popups when you try to close their sales pages. e.g. "Clickbank Bonus Domination." (Warning: clicking link may cause loss of faith in humanity.)
Other purchase notification services
Other affiliate systems appear to offer purchase notification too, although none of the ones I found were as open in sharing the details as Clickbank is; you have to sign up or attend a (paid) 'university' course to learn more: