The reference to Lazarus, the friend of Jesus who died and then was brought back to life again as narrated in the Gospel of John, is something that is both an allusion and also a comparison, as Prufrock, in the allusion, compares himself to Lazarus in order to picture how he intensely desires to communicate his feelings and experience:
Would it have been worth while,
To have bitten off the matter with a smile,
To have squeezed the universe into a ball
To roll it toward some overwhelming question,
To say: "I am Lazarus, come from the dead,
Come back to tell you all, I shall tell you all"—
Just as Lazarus is pictured as coming back from the dead, revealing his momentous experiences and what actually happens to the human spirit once it dies, so too Prufrock desires intensely on the one hand to be able to share and talk about what he seriously feels and experiences. The allusion to Lazarus therefore allows Prufrock to consider broaching serious conversation with the female that he is going to visit and to talk honestly about the "overwhelming question" that he thinks about but is never able to pluck up enough courage to actually engage in. The allusion therefore is used to reinforce the apparent inability of Prufrock to communicate about his feelings. Although Lazarus was able to communicate what he experienced, Prufrock is only able to dream of communicating so openly and freely.
The phrase you quoted is an allusion, which is
a reference, usually brief, often casual, occasionally indirect, to a person, event, or condition thought to be familiar (but sometimes actually obscure or unknown) to the reader.
Lazarus was a close friend of Jesus and the brother of Martha and Mary in the Bible. Lazarus died; Jesus came to his home four days after his death and miraculously brought him back to life.
Eliot uses this allusion to give an impression of how completely disassociated and estranged the narrator feels from the woman he is desparately wanting to engage in meaningful conversation. Even if he were to announce to the woman that he had been resurrected from the dead so he could tell her everything there was to know about whatever awaits all humans when they die, the woman's response would be indifference. "That is not what I meant at all, That is not it, at all."