Poor baby! You’re right, hedgehogs are not found wild in the States, so that hedgehog was most likely dumped by someone. They’re bought frequently because they’re cute, and then dumped when the person realizes the animal has
gasp needs that have to be met.
Take it to an exotics vet to have it checked out for any infections, bugs, etc. Decide if you can/want to commit to keeping it or not. There is no shame in being unable or unwilling to care for it. The vet should be able to point you toward a shelter that can take hedgehogs, or might be able to give you some direction in rehoming it if you don’t mind fostering it for a while.
If you want to commit to keeping it or at least caring for it until you find another home for it, here’s a link to a good post to get you started.
HEDGEHOG CARE INFORMATION SHEET
They’re pretty low maintenance once you get them set up, but there IS an up front cost to consider for appropriate housing, food, bedding, a wheel, a heater, and a thermometer just to look at some of the main things. And LOW maintenance is not ZERO maintenance.
They’re great little friends, though. I’m sure it’s probably stressed and scared right now, so if it’s hissing, popping by bouncing itself quills-first toward your hand, or balling up, don’t let that scare you.