Hi Vaibhav, welcome to the forum,
Your question is in 3 parts, so regarding cost effectiveness. Your logic about using dropshipping ssi correct to a point, but it really directly relates to what sort of wholesale volume you would be purchasing in. Dropshipping is never going to give you a purchase price that wholesale purchasing would, so I would suggest maybe exploring the wholesale option at least.
It will of course come down to how much volume you purchase, but you may find that even with importing, the margin is still better than dropshipping direct to customers.
Regarding customer returns, that is going to be a problem with dropshipping. It comes down to the supplier themselves if they are willing to accept returns. Of course if you were wholesaling, then everything would be forwarded back to you.
Part 3, the margin, well this relates back to my first point about wholesale. It's going to give you the best purchase price, but margin will come down to how much volume you purchase and your import related costs of course.