It’s not done for small bottled water in the US, but it is done for multi-gallon “water bottles”, i.e. the things you use with a water cooler. Mostly you’re not returning them, though (although you can return them); you’re just reusing the ones you own.

I feel like that might be a more sustainable system: a grocery store where everything is shipped to the store and held in large bulk containers (which can be reused between the store and the supplier), and then, when purchased (through a deli counter or machines), some of the contents of the large container are transferred to fill up a small reusable plastic container you’ve brought from home. (Either by plugging it into the vending machine—like with refillable water jugs—or by handing it to the deli clerk to fill. Or, in the case of bulk bins, just filling your containers yourself, and then weighing them at the self-checkout. [That presumes each container has some sort of standardized tare code on it you can scan so that you don’t have to weigh every container empty when you first come in.])