You are definitely on the right track with your thinking. Oxymorons are words with opposite meanings used consecutively. Oxymorons are used by Romeo and Juliet to express how they are feeling opposite emotions simultaneously. Love and hate are both felt by Juliet in Act III when the Nurse tells her Romeo killed her cousin Tybalt. She still feels love for Romeo, yet she hates him at the same time for killing Tybalt. Some of the oxymorons she uses include "beautiful ruffian", "angelic devil", etc.
Romeo jointly feels the emotions elation and depression. This is most evident in Act I when Romeo is trying to explain his love for Roseline to Benvolio. He is experiencing elation because he finally found the supposed girl of his dreams, yet he feels depressed because she has vowed a life of chastity and, therefore, can never be with him. Consequently, he spews off several oxymorons "brawling love", "heavy lightness", "serious vanity", "feathers of lead", "bright smoke", "cold fire", "sick health", etc. to describe to his friend how he feels.