They can work without a return wire. It sounds like this system is designed to be able to work that way in case of faults:

>The use of two HVDC cables will provide the link between all four sites. The use of two cables constitutes the bipolar operation of the project. A return path through earth, however, is provided in order to allow for the reinstatement of rated or half-rated power transfer through converter switching, in case of faults and disconnections of one of the two 500MW elements of the converter, or one of the two HVDC cable links.

(https://www.euroasia-interconnector.com/wp-content/uploads/2... p17)