there was only one time i left a dealership's lot without the financing secured 100%. and that was when i was naive enough to think it was "ok". they had the basic "approval" from ahfc due to my outstanding history with them and credit score, HOWEVER, it was saturday and the finalization of it wouldn't happen till monday. i now know better than to drive off with a car that the final finance paperwork has not been completed for.
anyway, it sounds like there is either more to this specific case or there are some holes in the story. i'm not sure how they wouldn't know they sold it for "too little" long before you left with the car........
i can forsee them not being able to secure you financing and thus requiring you to return the car. rare, but apparently it happens.