If we got a package from fedex addressed to us, can we keep it or do we need to return?

If you do not believe it is yours and was accidently sent to you, most states have pretty strict laws regardding how to handle found property. Usually depending on the value, they can require you to publicly advertise it, give it to the police, wait a year or more, etc. before you're able to claim it. You'd have to reference your specific state laws, but I would simply recommend returning it to Fedex in that case. They would probably be able to find out where it came from based on the tracking information and contact the sender for instructions.

If you think it was intended t be sent to you, but you simply don't know who sent it, I can't see any reason you wouldn't have the right to keep it.