What was Big Willy Shakes going for?
Shakespeare might have been the first to write this phrase down, but his audience would have been familiar with the idea. A "wild goose chase" actually involved horses, not geese. So why the name?
It turns out horses looked an awful lot like geese flying in formation when they were in a wild goose chase. This was a game in those wayback days where one horseman would do a task, then the rest would mimic it. Sounds a lot like the copycat game you played when you were a kid, doesn't it?
So Mercutio and Romeo were playing a game with horses? Well, not exactly. A wild goose chase featured an evasive leader, trying to trick everyone. No one knew what move was coming next, so it was impossible to prepare.
Mercutio feels the same way about the jokes. If Romeo is going to switch up the topic on him all the time, he can't get ready for it.
But a pun lies in these lines as well. In Shakespeare's world, a "goose" was a slang term for a prostitute. When Mercutio asks Romeo about chasing geese, we're pretty sure he's also hinting at this meaning.
That's Mercutio for you. He's dirty, funny, and out of control. Just take his entry into the play. He's needling Romeo about not wanting to dance, and basically the first thing he says is "Prick love for pricking, and you beat love down" (1.4.28). In other words—the best way to cure a broken heart is to have sex. Um, thanks for the tip?