This would be a question for your ATM processor.
Aren't you simply processing an adjustment back to the credit union when you received the return check?
What Brian said. It's been awhile since I worked at an ATM, but yes, you have a system to process these back to the credit union whose customer it is. I managed an ATM department for a CU that participated in this. You could contact the adjustment/ATM/Debit department of that credit union also and let them know what's going on, I would think they'd hotcard her for this.
While it is work to process these, your credit union isn't the one that would take any loss (unless I've missed some big changes since I've been out of the credit union world).