Is it okay to tell him I had a miscarriage? Or would it be better to just ask to come back early and not explain why?
First, I'm so sorry to hear of your loss. I have family who experienced the same.
Next, make sure you are really ready to go back to work. As you mentioned, you are still grieving. While it makes perfect sense to want a distraction, work may not be the right one. Work expects your full attention, and unless you are ready to give it, you may be better served by being with family or friends, rather than coworkers.
But if you are really ready to resume work, I think you would be better off just asking to end your vacation early without going into details if you aren't comfortable sharing. Your manager doesn't need to know the reason, just that you want to work.
You might have a work relationship with your boss and/or coworkers where you would feel comfortable sharing the reason. If so, go ahead and do so. Discuss it privately with your boss first, and make sure you mention any accommodation you think you might need (coming in late, leaving early, etc). You might also want to check in with HR an let them know, just in case you find work overwhelming, and need to change your mind.
It's a tough, personal decision, and really one that only you and your family can make. No matter what you decide, a good employer and boss will support your decision. I'm hopeful that you find the comfort you are seeking.