In the following sentence:
Мы возвращаемся домой.
I am expecting accusative, so I'm confused.
In the following sentence:
Мы возвращаемся домой.
I am expecting accusative, so I'm confused.
The verb возвращаться (like all other reflexive verbs ending in -ся) is intransitive, that is why expecting the accusative case after such verbs is a wrong thing to do, they are never followed by the accusative.
Домой is an adverb, not a direct object noun. In the example Lawrence gives, Russian uses the same sentence structure as English:
We are coming home. / We are going home. - Here home is an adverb, too, not a noun, because the verbs to come and to go are intransitive, they cannot have objects without prepositions in English. In the sentence We are home. - Мы дóма. - both home and дóма are also adverbs. The difference between домой and дóма is that the former denotes the direction to a place, the latter denotes the place.
You are confused, since this word looks like noun, though it is not. It is actually adverb, historically derived from dative singular, but nowadays it is an adverb. So the conception of case is irrelevant here.
Some claim this to be a remnant of so called allative case, but as far as I know, allative (unlike, for example, locative case) never been something that existed in (proto)Russian on any stage of it evolution.
Yes, nothing similar to allative case has ever existed in (proto)Russian on any stage of it evolution.
And no, we have a full monty of allative cases in Fenno-Ugric languages of 'native Russians' still spoken here, just like in Tocharian A and in its decendant, Tocharian B, which are, judging by my amateur IE studies, were ancestors of Samskrt.
So my intuition is that its origin might have something to do with cross-linguistics and language unions.