Note: my reading of this poem is informed by the brief analysis of it provided here by the Wilfred Owen Association. That said, I think I take it in a slightly different direction.
There are clearly spiritual implications in this poem thanks to the final line referencing the doors of heaven. I think the poem can be interpreted effectively using three different personae for the "I" in the poem: "I" as generic poetic "speaker" (in this case a sonneteer), "I" as spiritual doubter in the midst and aftermath of war, "I" as Owen himself.
The analysis I linked to connects the "I" to Owen. The critic there makes this argument:
"First drafted late 1912 or early 1913 THE UNRETURNING allegorises
Owen's own religious heartsearchings emanating from his dislike of the
narrow evangelicalism practised at Dunsden by the Reverend Herbert
Wigan. What makes the link evident is Owen's early draft having on its
reverse side a drafted letter to Wigan setting out his objections to a
'Christian Life' that 'affords no imagination, physical sensation,
aesthetic philosophy', its one dimensional 'strait line upwards' and
its 'one interpretation of Life and Scheme of Living among a
There is some value in this interpretation; however, it limits the scope of the poem. The narrower the "I", the less relevant the implications of the poem become for the rest of us. Therefore, I'd like to take up the two other ways of looking at the speaker, the first of which is really a vehicle for arriving at the second way.
"I" as sonneteer
Examining the poem through the lens of the typical tone of a sonnet sheds light on some of the irony therein. The theme of unrequited love in a sonnet is as old as the style itself. However, the sonnet takes a different turn by having the people themselves not return, rather than the abstract construct of love. Looking at the narrator as a writer of sonnets, we can notice the way Owen plays with the conventions of sonnets. For example, consider the final two lines of the second quatrain:
But they were all too far, or dumbed, or thralled,
And never one fared back to me or spoke.
The narrator is the lover rejected, the lover alone and pining for an answer or at least a response. Now, it is nature, the world, the cosmos that is working against the narrator.
From a structural perspective, this idea is strengthened by the final three lines of the closing sestet:
And while I wondered on their being withdrawn,
Gagged by the smothering Wing which none unbinds,
I dreaded even a heaven with doors so chained.
The use of Wing here alludes in my mind to George Herbert's poem "Easter Wings," which directly (and famously in the world of poetry) connects Christ to a winged creature. Here, the Wing gags and smothers. Reading this idea through the lens of the sonnet structure, we see the sonneteer living in this "love triangle":
Wing -- The Unreturning -- The Speaker.
Focusing on structure and the conventions of a sonnet, we can see how the narrator is stuck in this position of unrequited love. In this instance, however, the force preventing any sort of return or even response seems to be "God as Wing," which leads to...
"I" as spiritual doubter in the midst and aftermath of war
Clearly this is great irony in a sonnet where the divine smothers and gags, chains people in, and leaves those still alive in the world disconnected from those who have died. This narrator then stands for the consciousness that simply cannot allow two ideas to coexist: a religious belief in a loving God and the death and destruction of war. When people go off and die and don't return, giving no assurance of anything beyond this world, then there is cause for doubt, especially when war is what leads to death in such massive numbers. The narrator then is one who is living in the tension of faith and disbelief, a tension made worse by the world in which the narrator lives.