It’s well known that the surface formed by gluing up opposite boundary points on a closed disc has fundamental group $\mathbb{Z_2}$.
However, it seems that surface can’t be realized in $\mathbb{R}^3$ without self-intersection (I think “embedded” is the proper terminology, but I don’t have a background in this stuff).
Is it possible to create a surface with fundamental group $\mathbb{Z_2}$ that can be embedded in $\mathbb{R}^3$?
Not possible. Alexander duality is an obstruction. Check Corollary 3.45 Hatcher. If $X\subset R^3$, then $H_1(X)$ has to be torsion-free. But $H_1(X)= \pi_1(X)= Z_2$ is torsion (and non-trivial) for your case.