The name Romeo is an Italian baby name. In Italian the meaning of the name Romeo is: Pilgrim from Rome. Latin Meaning: The name Romeo is a Latin baby name. In Latin the meaning of the name Romeo is: Pilgrim to Rome.Shakespearean Meaning: The name Romeo is a Shakespearean baby name.n Italian the meaning of the name Romeo is: Pilgrim from Rome. Latin Meaning: The name Romeo is a Latin baby name. In Latin the meaning of the name Romeo is: Pilgrim to Rome. Shakespearean Meaning: The name Romeo is a Shakespearean baby name.