An ATR-72 Captain reported feeling rushed by ATC during vectoring for a return to land because of a landing gear that would not retract.

Narrative

After taking off; the left main gear did not retract. We leveled off at 2000 feet per clearance; advised departure of our problem and the First Officer (PM) began to run the checklist. We did not declare an emergency; we were vectored on a right downwind for landing. [It] seemed very quick; we were told to turn on a right base; but we were just finishing up our checklist so requested to extend some. We were informed we were approaching [another airport's] airspace and need to turn base. (We did not seem that close at the time; but I was a bit distracted.) We turned base and began to complete the normal cruise; descent; approach and before landing checklists. I felt rushed because of the vectoring; and would have liked a minute or two to sit back and review what we had done to confirm we had not missed anything. In hindsight; we did complete all of our required checklists correctly. I let myself be rushed by ATC. They did not seem to be aware that abnormal checklist take time to complete and we still have the normal duties involved with flying the airplane and communicating with ATC and flight attendants. I also could have asked for a 360 degree turn or two to give me time to review what we had done. If ATC would have been aware of the time we needed; only an additional two or three minutes; the whole procedure would have been more comfortable for the flight crew. I should have told them or they could have asked.