I pulled the lever on a brand new hydraulic disc brake and the brake won't release. What's up ? The wheel was never removed and a brand new bike.
Are you able to remove the wheel? Once the wheel is removed amd the pads are no longer obstructed by the brake rotor, you need to insert a flat-bladed screwdriver between the pads and twist it to push the pads apart. If this works, then you should be able to put the wheel back in, fitting the rotor into the brake caliper. With everything back in place, try pulling the brake lever again to see if it works properly now.
If this doesn't work, then you probably have a more complicated issue that we would need more information to diagnose.