If they tried different types of domes, then I would suspect the hearing aid is pulling on the receiver inside of your ear, creating a leak. This may be a case where the new hearing aid is setting on your ears differently. Using custom molds may help.
Yes, it’s possible the hearing aid is defective. Take the hearing aid to a different Costco to get a second opinion.
Note, if you return the hearing aid and go to another Costco, they are going to know and may deny a new hearing aid of the same brand.
So I would go to another Costco to see what they say, and try custom molds if they can’t get the feedback under control.