As an interjection, O was very common in direct address, in Shakespeare's time - "O false Cressid" says Troilus (Troilus and Cressida, V.ii.181) - and it was widely used as an emotional vocalisation where today we would write "Oh". But it had several specific uses as a noun. In Love's Labour's Lost (V.ii.45) Rosaline teases Katharine for having a face "full of O's" - "pimples". In Romeo and Juliet (III.iii.91), the Nurse castigates Romeo:
"Why should you fall into so deep an O?" - "sorrowful exclamation".
In A Midsummer Night's Dream (III.ii.188) Lysander says that Helena "more engilds the nightThan all yon fiery oes and eyes of light"- "orbs", or possibly "spangles" (of the kind used to ornament dress in the 17th century).
And the word was widely used in this general sense of "circle, sphere" - as when Cleopatra talks about "the little O o'th' earth" (Antony and Cleopatra, V.ii.81) and, most famously, when the theatre is described as a "wooden O" (Henry V, opening chorus, l.13).