@Robert -- Yeah, that's probably the only option.

How do I run flash recovery? adb doesn't ever see the phone.

Alok -- I have ClockworkMod Recovery v5.0.2.0

@izzy --- yes, that is correct. I wiped everything, and the phone still boots.

Amazon is graciously sending me a new one, and I'm sure when I return mine they will be using a factory cable to reset it. But I have 30 days to return it, so I may take the time to try to build a factory cable myself just for the experience.

I have 6.2.2 as my firmware.

Wow -- thanks for the tip about "Factory Cables". Interesting stuff.