Costco isn't the problem, they are a symptom, and there is no ethical consumption under capitalism. Whatever alternative you choose will either have similar practices or be owned by the same/similar people.
The problem is capitalism, and specifically in this case also the white supremacy that supports it.
Aim to ween yourself, and everyone around you, off those (this is not to imply you are a capitalist or white supremacist, but we all exist under those systems, and others, and there is no escaping their impact - you are either oppressed by them or benefit from others being oppressed by them even if not directly or even willingly). Combat the system, not its symptoms, that battle is futile, which is why those in charge want you to keep fighting it so much.