@Huzure
Well unlike L/R, there are both "mi" and "me" (み/ミ and め/メ) in Kana. And, according to Google.co.jp, Romeo seems to be more common (78100000 for both ろめお and ロメオ, 8310000 results for ろみお and 4920000 results for ロミオ). Not sure about a possible Kanji for Romeo, but it doesn't look like Kanji for Romio use default reading anyway.
But, i'm not trying to challenge official romanization here. I guess i do agree that Romio sounds less strange then Romeo in a context of him being
JapaneseTouwan.
BTW, i wasn't talking about Juliet, but Julio. They are using this name to hide Juliet's identity, yet it didn't got changed to sound more Japanese-like.