At least according to https://wikidevi.com/wiki/TP-LINK_TL-WR940N_v6.x it is a "4/32" device, and as such, is subject to the https://openwrt.org/supported_devices/432_warning and is not recommended for use.
If you can still return it, I'd suggest reading the thread on inexpensive devices and selecting one that has sufficient resources for current and future use. Suitable devices can be obtained for around US$20