Can we use "return" in finally block

Returning from inside a finally block will cause exceptions to be lost.

A return statement inside a finally block will cause any exception that might be thrown in the try or catch block to be discarded.

According to the Java Language Specification:

If execution of the try block completes abruptly for any other reason R, then the finally block is executed, and then there is a choice:

   If the finally block completes normally, then the try statement
   completes  abruptly for reason R.

   If the finally block completes abruptly for reason S, then the try
   statement  completes abruptly for reason S (and reason R is
   discarded).

Note: As per JLS 14.17 - a return statement always completes abruptly.

Yes you can write the return statement in a finally block and it will override the other return value.

EDIT:
For example in below code

public class Test {

    public static int test(int i) {
        try {
            if (i == 0)
                throw new Exception();
            return 0;
        } catch (Exception e) {
            return 1;
        } finally {
            return 2;
        }
    }

    public static void main(String[] args) {
        System.out.println(test(0));
        System.out.println(test(1));
    }
}

The output is always 2, as we are returning 2 from the finally block. Remember the finally always executes whether there is a exception or not. So when the finally block runs it will override the return value of others. Writing return statements in finally block is not required, in fact you should not write it.