Based on the cascaded second-order nonlinear interactions in a periodically poled lithium niobate waveguide, a novel scheme of all-optical data format conversion from non-return-to-zero to return-to-zero is proposed, using a Mach-Zehnder interferometer structure. The conversion mechanism relies on the amplification effect induced on the signal field via cascaded second-harmonic generation and difference-frequency generation, which makes the Mach-Zehnder interferometer unbalanced and leads to the output of return-to-zero due to destructive interference. Firstly, the non-return-to-zero to return-to-zero conversion process is numerically simulated based on the coupled-wave equations. Secondly, the dependence of the extinction ratio on the waveguide length, optical power, and time-delay is analyzed and optimized. Finally, the conversion bandwidth is also discussed. It is found that the signal wavelength can be tuned in a wide wavelength range of approximately 90nm, thus simultaneous multi-channel non-return-to-zero to return-to-zero data format conversion can potentially be implemented with the proposed scheme.