Yes, making a U-turn without entering Canada is possible. That being said, it is not easy to do; here is what you would go through if your experience is like mine.
Upon arriving to the Customs, you have to ask them to do a U-turn, then they summon a person who is authorized to allow you to make one. Then, you have to fill out a form that says, among other things, that you have not purchased from the Duty-Free store. After this, you can be approved for a U-turn. You are directed to a gate to wait at; and after your form gets processed, a bridge worker comes out, opens the gate for you, and tells you which path to take in order to complete your U-turn. If you accidentally take a wrong turn, you end up at some restricted location (I just turned around without looking what exactly it was). Not a very short procedure, but if you really must, you can.