Act 4, scenes 1-3. Why don't Romeo and Juliet leave Verona as a solution to their problem?

Following his exile, Romeo says:

There is no world without Verona walls,
But purgatory, torture, hell itself.
Hence-banished is banish'd from the world,
And world's exile is death: then banished,
Is death mis-term'd: calling death banishment,
Thou cutt'st my head off with a golden axe, And smilest upon the stroke that murders me.

Verona was, more or less, a city-state in 13th C. Europe, so to leave it was to immigrate to another country.  Exile was death.  Families clung together for support.  There was no chance to lead an independent life otherwise.  One could become a monk or join a nunnery, but neither take in married couples.

Romeo and Juliet are kids; they are bound to their parents.    To move out of their protection would mean begging for food and shelter.  And they are privileged.  As only children, they live like royalty.  What jobs, what status, what dowry, what land, what rights would they have outside Verona's walls?  None.  One's name and reputation guaranteed prosperity for generations to come.

Lord Capulet says of Romeo:

And, to say truth, Verona brags of him
To be a virtuous and well-govern'd youth:
I would not for the wealth of all the town
Here in my house do him disparagement:

Romeo's got it made, even if he is secretly married to his enemy's daughter.  When Romeo is banished, Lady Montague kills herself, such is the effect of his exile.  Lord Montague says:

Alas, my liege, my wife is dead to-night;
Grief of my son's exile hath stopp'd her breath:
What further woe conspires against mine age?

A secret marriage is one thing, but a secret identity outside the city-state is another.  It is better to marry a mortal enemy than to exile.  It is better to suicide than to exile.  Italian families are tight, to say the least.