James was writing as a late nineteenth-century novelist. Not so very many years before this, in the 1870s, another Victorian, Edward Dowden, was the first to designate Shakespeare's Last Plays as 'Romances'. By then the word had acquired a lot of semantically blurred luggage since the time it simply meant a tale in a vernacular Romantic language--'Isn't it romantic?' is not the sort of question worth going into here. The Elizabethans and Jacobeans used the word of stories but not of dramas. Shakespeare never used the word at all--not of plays, not of anything.