For future reference, the ONLY kind of wig you can dye and bleach like normal hair is a human hair wig, which this one is not. The seller flat out lied to you.
Getting a new one isn't going to help since it's just going to be the same wig anyway. What sort of dye job were you trying to do?
If you wanted to dye it darker, just keep your wig. There are methods of dying synthetic wigs, which you can easily find tutorials for both here and all over the internet.
If you wanted to bleach it or dye parts of it lighter, your only option is to buy a new, lighter colored wig so send this one back and get your money back. Synthetic wigs can only be dyed darker, not lighter, unfortunately.