Exchanging after Refunding

How risky is it to go into the physical store (e.g. FinshLine) to exchange an item for a different size after getting the item refunded? Let's say I go in without a receipt and just ask for the exchange. Is there any way for them to tell that the specific item was refunded and then me getting fucked?

I'd like to know this too but I'm going to assume it's a bad idea