That's how I got my first duck as a kid. It was running around on the floor at the feed store under the brooders while I was mooning at the babies. When I picked it up to have it put back, the guy said it wasn't one of theirs and that it was a wild mallard! Told me take it home, so of course being a very obedient child, I did (after a prolonged bout of pleading to my folks). Mel turned out to be a boy and a very good friend. When he got older, I got a girlfriend for him, Phoebe the khaki campbell. They were devoted to each other. One spring she sat on a nest of 14 eggs, and 12 babies joined our duckie family. Later that same year, I lost Mel to a raccoon
and kind of lost heart over that. A family in our area took the rest of the ducks and that was good, because they had a pond (all we was an outdoor bathtub!).
So maybe you could keep the little one? There might some law, but I won't tell anyone!