It is in fact an idiomatic expression. This expression can be found in Emily Dickinson's poem. Here is an excerpt:
<em>But never met this fellow,
</em>
<em>Attended or alone,
</em>
<em>Without a tighter breathing,
</em>
<em>And zero at the bone.</em>
<em />
It seems to be a reference to zero degrees (super cold). As if the character is shivering from fear with the same intensity that the character would if it was 0 degrees.
Romeo and Juliet is a tragedy. Same as for Anthony and Cleopatra. The play version though. Yet, there love is very pure and is so strong that can be compared with the bible's story of the sulemite and her pastor. It's found in the Song of Solomon. I only put here the possible comparisons.