Maybe just buy the two +2 weapons, give them Throwing and Returning, dual-wield them, and have the flavor be whatever you want, but mechanically it stays the same?

Or, make a new weapon property. "When thrown, this weapon becomes a different weapon. The new weapon may be any non-exotic melee or throwing weapon, and is chosen when the weapon is created, and may not be changed.

The weapon retains any magical enhancements it had before changing its base type. When attacking melee with this weapon, there are no changes. May only be applied to thrown weapons or weapons with the Throwing property."

Price: +1 bonus.

Probably not even worth a +1 bonus. Maybe make it one of those static 2,000-15,000 gp ones. I think there might be something like this in the Magic Item Compendium. Maybe that one just let you change the material type? I don't have it on hand but it would be good to look at for price comparison.