Line 18 But purgatory . . .
A concept that was not unusual in Medieval or Renaissance Verona, but was in Elizabethan England. About the controversy about Shakespeare possibly being a Catholic, see e.g. this article.
Line 22 Thou cut'st my head off with a golden axe
Freudian Oedipus -- Romeo speaks to Friar Lawrence, who has just informed him about the ban. As a matter of fact, Lawrence actually "plays the role" of Romeo's father: we never see the young Montague and his biological father together
Line 43 And sayest thou yet that exile is not death?
see Adam's lament in Milton's Paradise Lost -- "deadly sin" had been mentioned in line 24
Lines 61-2 [Friar L.] O, then I see that madmen have no ears.
[Romeo] How should they, when that wise men have no eyes.
Line 89-90 . . . rise and stand;
Why should you fall into so deep an O?
The phrase has been interpreted in different ways, from a symbol of Romeo's distress to the nth risqué joke made by the Nurse. "Rising" might also imply "from hell," and in this case, "O" would suggest a Dantean circle (that would be Shakespeare's, not the Nurse's subtlety, anyway)