What figurative language is But O grief where hast thou led you?

But, O, grief where hast thou led me? is an example of a rhetorical question. A rhetorical question is a question that is asked for effect and does not require an answer. It is often used to make a point or to emphasize something. In this case, the rhetorical question is used to emphasize the speaker's grief and to show how it has led him or her astray.