It's an urban myth propagated on some of the .com boards, aided and abetted by some know nothings at local US post offices mis-interpreting a USPS internal memo on the subject.
Specifically the Country and Postal Code should be capitalized, the rest of the address is not looked at by machine or human until the very final stage of the journey.
It's much more likely the envelope was returned for insufficient postage, half the US payments I receive by mail have insufficient postage (but are delivered prompty anyway). Maybe one in 50 are returned to sender.

"What else could I do? I had no trade so I became a peddler" - Lazarus Greenberg 1915
- answering Trolls is voluntary, my policy is not to participate.

"What else could I do? I had no trade so I became a peddler" - Lazarus Greenberg 1915
- answering Trolls is voluntary, my policy is not to participate.