Sorry Jen. But once you move into combat, you have to conduct at least one round of combat before you can retreat.
In the order of combat, retreat is later in the sequence, not first. Thus you have to complete those portions of the combat sequence that precede retreat before you can retreat (opening fire, remove opening fire casualties, attacker rolls, defender rolls, remove casualties THEN press attack or retreat)
The only exception (of course) are land units for an amphib if they all die in the naval battle, but that is only because they never actually were able to complete their move into Combat. But those advanced air units that were sent in… those have to endure a full round of combat before they can fly away.