Plenty of places won't exchange items without a receipt, especially if they're items that aren't part of the store's house brand. It's a pretty common policy and it's really not surprising that Joann has it as part of their return policy.
Also, Joann's has their return policy on their website (and probably also printed on the back of their receipts), and one of the items on their list of categories not eligible for return is "any item that is not in sellable condition." If you bought it online instead of in-store, their online return policy is pretty clear about not doing exchanges. They're also clear about not doing in-store refunds of online purchases and online refunds of in-store purchases.
Have you tried contacting the manufacturer?