Either contact the manufacturer about the defect and see if they would be willing to replace it, especially given the embarrassment, or chalk it up to a wash. If you need to dispose of it, you can carefully cut the silicon shell with a razor and peel it off. Since silicon is heat resistant, you can dip it in boiling water to sterilize it with no risk. Many places have silicon recycling stations, and cut up into manageable chunks, few people will guess what it was.

The battery can be pulled out and taken to a battery recycling station risk-free, since the same battery powers multiple items. If anything else, just say you found it and wanted to do the right thing with it. The circuitry can be dropped off at a lot of office supply stores in the tech disposal bin where they reclaim the metals and safely dispose of the board. And the motor can simply be pitched.

If you need a replacement and have a few coins to throw, look into the We-Vibe Nova 2 or Rave, or the Lelo Saroyo Wave. A touch pricey, but excellent replacements. After this event, I think you deserve the upgrades. Best of luck. If you need recommendations for a product, let me know (I work with a major sex toy manufacturer as a product tester as a sideline).