How remap my CapsLock key to work as if it was a Return key using setxkbmap?

Not sure if it helps (as not purely in setxkbmap), but:

setxkbmap -option caps:none
xmodmap -e "keycode 66 = Linefeed"

Change back:

setxkbmap -option
xmodmap -e "keycode 66 = Caps_Lock"

You can check with something like:

xev | sed -ne '/^KeyPress/,/^$/p'

to get keycodes.

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