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I'm Lucy, and I'd be happy to answer your questions today. I'm sorry to hear about your situation.
You have the ability to file in the US for a determination that your marriage is void. You do not need to return to Costa Rica. The US court will have jurisdiction over you as a US citizen and resident of the state where you live. If you wanted to remain married, you could do nothing, wait for your spouse to get a divorce on the first marriage, and then go to the courthouse to have your marriage made legal. You wouldn't be required to go through the annulment process first.
From your question, it sounds like you went to Costa Rica to get married while living in the US. If that's not the case, please let me know what US state you're in now so I can look up the residency requirement before you can file (it's 6 months in many states, but some have a shorter requirement).