112 is the emergency number in much of Europe. I'd bring it back to where I bought it and explain that someone set it up incorrectly, and it really shouldn't be used in the US, and ask if they could replace it with a properly working one.
If they don't want to swap it with a new one for you, I'd go to the local police department's communication's chief (or the highest ranking communications officer I could get to see) and explain the situation - that you bought the phone and it calls 911 when you dial other numbers (and you can demonstrate it to him if he wants), that you really don't want to annoy his people (doing so might be illegal where you are) and see if he can send an officer to the store to "convince" them to "please be nice" and replace the defective phone.
