I think it varies. It used to be where they allowed this, but I have also heard Apple no longer permits this either. What I would do is go to your local Apple Store, they may acknowledge the request in person and order the band for you if they don't have it in stock.
Or you can contact customer service, but that scenario would likely be my last choice, as it depends on who you talk to and willingness.
I think if you speak to Apple support saying you want to return as you don't like the band they MIGHT offer to swap it out. I've seen a few people have this happen, rather than having to accept a return. I think the bands have to be in the same range though... sports band for sports band etc.