Do the right thing
Welcome to RadioReference Zakm0n,
Since your boss does not know the history of the radio, you should consider the possibility that the radio was not acquired with Walmart's blessing (e.g. was lost or stolen).
If you think that Walmart might want the radio back, then there is the possibility that Walmart does and filed a Lost/Stolen Property report with the police when the radio went missing. In that case, you would want to surrender the radio to the authorities, and certainly not sell or keep it.
You probably should contact someone at Walmart who actually knows about the radio and its history (meaning it might not be the on-duty manager at the local store), and let them know the details about the radio (including serial number), and the details about how it came into your possession. If they don't want it back, then ask them to email you a statement saying you can keep it, and confirming that they did not file a "Lost/Stolen Property" report on the radio.
If Walmart does want it back, (or if you don't want to go through the hassle of trying to contact the "right person" at Walmart who has the authority to let you keep the radio), then take the radio to your local police department, and file a "Found Property" report explaining how the radio came to be in your possession, and give the radio to the police. If you did contact Walmart, give the police officer the contact information of the person at Walmart who said they want the radio back, so it can be returned and so that any "Lost/Stolen property" report that might have been filed, can be closed accordingly. This helps protect you by keeping you out of legal "limbo-land" if someone later says that you are in possession of, or sold/distributed, stolen goods.
And, once you have a written resolution (either Walmart's email stating you can have the radio, or a police report stating you surrendered the radio), then politely let your boss know the resolution, so that if they get any questions later, they know you did the right thing, and know exactly how the situation was resolved.
Just a thought (that hopefully helps avoid trouble).
Hope this helps,