What Harold said, plus how big a gap is under your door? Most times a clear 1 - 1.5" gap is plenty for good air flow. If you don't mind a large gap under your door then you could just go this route.
While not ideal, not having a return in each bedroom is pretty common. You didn't mention what your problem was. Is your air conditioning not getting that bedroom as cold as the common areas? If the room is comfortable then you don't have a problem and the air under the door means that you ARE getting air circulation.