Here is a homological argument.
Suppose an unorientable n dimensional smooth compact manifold, M, is embedded as a hypersurface of Euclidean space.
Since its tangent bundle Whitney sum its normal bundle is trivial, its normal bundle must be non-trivial since its first Stiefel-Whitney class must be non-zero.
This means that the boundary of a tubuluar neighborhood of M is a connected orientable manifold. Call it N.
Further, the tubular neighborhood, T, has the homotopy type of M since M is a strong deformation retract of T.
Think of M as embedded in the n+1-sphere by adding the point at infinity.
The Mayer-Vietoris sequence in dimensions $n$ and $n+1$ is
$H^{n+1}(T) \oplus H^{n+1}(S^{n+1}-T) \leftarrow H^{n+1}(S^{n+1}) \leftarrow H^n(N) \leftarrow H^n(T) \oplus H^n(S^{n+1}-T) \leftarrow H^n(S^{n+1})$
The first two terms on the left are zero because T and $S^{n+1}-T$ are (n+1)-dimensional manifolds with boundary. $H^{n+1}(S^{n+1})$ and $H^n(N)$ are both isomorphic to $\mathbb{Z}$ since these are the top dimensional $\mathbb{Z}$-cohomologies of compact orientable manifolds without boundary. Similarly, $H^n(T)= \mathbb{Z}_2$ because it is homotopically equivalent to a non-orientable $n$-manifold. Finally, $H^n(S^{n+1})=0$.
So the sequence is
$0 \leftarrow \mathbb{Z} \leftarrow \mathbb{Z} \leftarrow \mathbb{Z}_2 \oplus H^n(S^{n+1} - T) \leftarrow 0$
This sequence can not be exact.