Remove return;
from your code, which is prematurely exiting the function before the following two lines can be executed; that is why the status is not changed.
function my_change_status_function () {
global $post;
$ordernumber = get_post_meta( $post->ID, 'order_number', true );
$audit_status = get_post_meta( $post->ID, 'audit_status', true );
if ( $audit_status == 'Complete' ) {
$order = new WC_Order( $ordernumber );
$order->update_status( 'completed' );
}
}
add_action( 'save_post_audits', 'my_change_status_function' );