C# :: Get Collection Of Data From Database Through SQL Class?

In my WPF application i have a SQL class which i am trying to use to store all of my SQL queries so far this is working fine for when i want to return one piece of data like this:

public string GetEnquiry_ContactName(int EnquiryID) {
string ContactName = null;
//Try to do the following if not then show the error message.
try {
//Create the SQL Connection
SqlConnection cn = new SqlConnection(Models.M_GlobalVariables.GetConnection);

[Code] ....

But if i want to return a collection of data like this:

public ObservableCollection<CompanyNames> GetCompanyNames () {
public class CompanyNames {
public string CompanyName { get; set; }
public CompanyNames(string name) {
CompanyName = name;

[Code] ....

It does not work and i get 'Not all code paths return a value' and ''List_CompanyNames' is a 'property' but is used like a 'type''. But if i have it in my ViewModel like this:

//Code for the 'Company Names' dropdown box
public class CompanyNames {
public string CompanyName { get; set; }
public CompanyNames(string name) {
CompanyName = name;

[Code] ....

It works absolutely fine but the whole point of my SQL class is to have all my SQL code in that class instead of some of it in the ViewModel.