No, a heat duct does not require a return air duct. Look at the ducts in your house. You have many heat ducts and only one (or possibly two) cold air return.
No, venting the flue gases into your garage would be insanity, against all codes and likely end up killing someone.
If you think there is an insignificant amount of CO being produced by even a modern, natural gas fired, condensing furnace, you’d be seriously mistaken.
If the furnace is fairly new, then they already designed it to extract as much waste heat as is safely possible. You’d need a heat exchanger to extract any more without gassing everyone to death and it’s likely to be economically unfeasible.