The stated result is true as long as $n \neq 3$.
For $n=1$ or $2$, this follows easily from
the classification of curves and surfaces.
The case $n \geq 4$ is much harder. A proof is sketched in this answer
by Moishe Kohan.
Here I will repeat the argument with a few more details.
Everything below takes place in the smooth category.
The main ingredients
Theorem A: Let $\Sigma$ be a closed manifold of dimension $n \geq 4$.
If $\Sigma$ embeds in a homotopy sphere of dimension $n+1$,
then $\Sigma$ embeds in $S^{n+1}$.
Proof: This is a consequence of the h-cobordism theorem.
Suppose that $\Sigma$ embeds in a homotopy sphere $M$ of dimension $n+1$.
Then $\Sigma$ also embeds in the connected sum $M \# (-M)$, since
we can do the connected sum away from $\Sigma$.
By Lemma 2.4 and Lemma 2.3 of [2], $M \# (-M)$ is h-cobordant to the standard sphere $S^{n+1}$.
Since $M \#(-M)$ has dimension $n+1 \geq 5$, it follows from the h-cobordism theorem
that $M \# (-M)$ is diffeomorphic to $S^{n+1}$.
We conclude that $\Sigma$ embeds in $S^{n+1}$. $\square$
Theorem B (Kervaire [1, Theorem 3]):
Let $\Sigma$ be a homology $n$-sphere.
If $n =4$, then $\Sigma$ is the boundary of a contractible manifold.
If $n \geq 5$, then there is a homotopy $n$-sphere $X$ such
that $\Sigma \# X$ is the boundary of a contractible manifold.
Proof of the result
Proposition: Let $\Sigma$ be a homology $n$-sphere.
If $n = 4$, then $\Sigma$ embeds in $S^5$.
If $n \geq 5$, then
there is a homotopy $n$-sphere $X$ such that $\Sigma \# X$ embeds in $S^{n+1}$.
Proof: We do the case $n \geq 5$, the case $n =4$ being similar. By Theorem B, there exists a
homotopy $n$-sphere $X$ such that $\Sigma \# X$ is the boundary of a contractible manifold $V$.
Let $DV$ be the double of $V$.
Then $DV$ contains a copy of $V$, hence $\Sigma \# X$ embeds in $DV$.
Moreover, $DV$ is simply-connected by the Van-Kampen theorem and has the homology of $S^{n+1}$ by Mayer-Vietoris.
By the Whitehead theorem, it follows that $DV$ is a homotopy sphere.
By Theorem A, we conclude that $\Sigma \# X$ embeds in $S^{n+1}$. $\square$
References
[1] Kervaire, M. Smooth homology spheres and their fundamental groups. Trans. Amer. Math. Soc.144(1969), 67–72.
[2] Kervaire, M. and Milnor, J. Groups of homotopy spheres. I. Ann. of Math. (2)77(1963), 504–537.