You are correct. It is not a cucumber. It's a squash. See how huge the flowers and leaves are? Cucumbers don't have flowers like that (they're small). Cucumber leaves look different, too (they're smaller with different texture).
Since it has a bush habit, I'm guessing it's a summer squash, but there are a few winter squashes with bush habits (e.g. Trivoli F1).
The leaves, however, are an unusual shape for a squash, but it's still a squash. I'm very curious what kind, and what species, though. It might be an interesting species. The leaves look similar to those of Chayote, but I think that vines.
This link shows a picture of a summer squash (unidentified variety) with leaves similar to yours. I figured yours was probably a bonnieplants.com plant, since you got it from Walmart. So, I searched for squash there and found this picture. I guess maybe that leaf shape isn't so rare (but I haven't seen it often myself). Your plant is probably C. pepo (maybe a Yellow Straightneck squash or something). It's normal to see lots of male flowers before you see any female ones. Just wait. (That's normal for cucumbers, too, though, except for some varieties.)