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I'd cross Gatsby off that list in a heartbeat. Pairing one literary name with another is iffy at best, but with such differing genres, it's especially grating. Loving books is great. Using literary names can be fine if done well, but it needs to be subtle or you'll have people rolling their eyes. I think you're going to have a hard time finding ANY middle name to go with Romeo. Romeo is a name people are used to hearing by itself, and comes with a lot of built-in connotations and impressions (baggage). It's like wearing a huge, gaudy necklace. Should you wear equally gaudy earrings so it will match, or none at all because the necklace is so much bling on its own?
TBH, I know you didn't ask, but a name like Romeo for a baby... I'd feel sorry for him! He's going to be teased constantly. Imagine him walking into a job interview and having to introduce himself as Romeo Gatsby ______. We had a DOG named Romeo. I mean, it's a caricature of a name at this point in our society.