In Romeo andJuiliet why does call himself a pilgrim and Juliet herself holy shrine?

In Shakespeare's Romeo and Juliet, Romeo doesn't refer to himself as a pilgrim or Juliet as holy shrine. The quote you are referring to is Juliet's famous line "O Romeo, Romeo, wherefore art thou Romeo?" These words are her cries of frustration towards why her true love has to be in the family of her sworn enemies, the Montagues.