JavaScript (ES7), 236 ... 193 185 bytes
Outputs by modifying the input matrix.
m=>(g=(d,x,y,v,r=m[y],h=_=>++r[x]<9?g(d,x,y,v)||h():r[x]=0)=>r&&1/(n=r[x])?x|y|!v?n?g(d='21100--13203-32-21030321'[n*28+d*3+7&31],x+--d%2,y+--d%2,v+=n<7||.5):h():!m[v**.5|0]:0)(0,0,0,0)
Try it online!
(includes some post-processing code to print the result both as a matrix and as a flat list compatible with the visualization tool provided by the OP)
Results
How?
Variables
\$g\$ is a recursive function taking the current direction \$d\$, the current coordinates \$(x,y)\$ and the number of visited cells \$v\$.
The following variables are also defined in the scope of \$g\$:
\$r\$ is the current row of the matrix.
r = m[y]
\$h\$ is a helper function that tries all values from \$1\$ to \$8\$ for the current cell and invokes \$g\$ with each of them. It either stops as soon as \$g\$ succeeds or sets the current cell back to \$0\$ if we need to backtrack.
h = _ => ++r[x] < 9 ? g(d, x, y, v) || h() : r[x] = 0
Initial checks
We first make sure that our current location is valid and we load the value of the current cell into \$n\$:
r && 1 / (n = r[x]) ? ... ok ... : ... failed ...
We test whether we're back to our starting position, i.e. we're located at \$(0,0)\$ and we've visited at least a few cells (\$v>0\$):
x | y | !v ? ... no ... : ... yes ...
For now, let's assume that we're not back to the starting point.
Looking for a path
If \$n\$ is equal to \$0\$, we invoke \$h\$ to try all possible values for this tile.
If \$n\$ is not equal to \$0\$, we try to move to the next tile.
The tile connections are encoded in a lookup table, whose index is computed with \$n\$ and \$d\$, and whose valid entries represent the new values of \$d\$.
d = '21100--13203-32-21030321'[n * 28 + d * 3 + 7 & 31]
The last 8 entries are invalid and omitted. The other 4 invalid entries are explicitly marked with hyphens.
For reference, below are the decoded table, the compass and the tile-set provided in the challenge:
| 1 2 3 4 5 6 7 8
---+-----------------
0 | 0 - - 1 3 - 3 1 1
1 | - 1 - - 2 0 2 0 0 + 2
2 | 2 - 1 - - 3 1 3 3
3 | - 3 0 2 - - 0 2

We do a recursive call to \$g\$ with the new direction and the new coordinates. We add \$1/2\$ to \$v\$ if we were on a tile of type \$7\$ or \$8\$, or \$1\$ otherwise (see the next paragraph).
g(d, x + --d % 2, y + --d % 2, v += n < 7 || .5)
If \$d\$ is invalid, \$x\$ and \$y\$ will be set to NaN, forcing the next iteration to fail immediately.
Validating the path
Finally, when we're back to \$(0,0)\$ with \$v>0\$, it doesn't necessarily mean that we've found a valid path, as we may have taken a shortcut. We need to check if we've visited the correct number of cells.
Each tile must be visited once, except tiles \$7\$ and \$8\$ that must be visited twice. This is why we add only \$1/2\$ to \$v\$ when such a tile is visited.
In the end, we must have \$v = N^2\$. But it's also worth noting that we can't possibly have \$v > N^2\$. So, it's enough to test that we don't have \$v < N^2\$, or that the \$k\$th row of the matrix (0-indexed) does not exist, where \$k=\lfloor\sqrt{v}\rfloor\$.
Hence the JS code:
!m[v ** .5 | 0]
Formatted source
m => (
g = (
d,
x, y,
v,
r = m[y],
h = _ => ++r[x] < 9 ? g(d, x, y, v) || h() : r[x] = 0
) =>
r && 1 / (n = r[x]) ?
x | y | !v ?
n ?
g(
d = '21100--13203-32-21030321'[n * 28 + d * 3 + 7 & 31],
x + --d % 2,
y + --d % 2,
v += n < 7 || .5
)
:
h()
:
!m[v ** .5 | 0]
:
0
)(0, 0, 0, 0)