I am wondering about the interjection "oh, the horror!". If it should be treated as an interjection directed to "horror" (there are similar expressions in other languages), why does it use the article "the"? There is no article in "Oh Lord!" or "Oh Brother, Where Art Thou?", so why in "Oh the horror"?
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I always took it to be one of those phrases that represents a partial utterance, as in "Oh, the horror that this invokes...". You are not addressing "horror" directly or evocatively; it's not a name or a title. I get the same impression from the famous "Oh, the humanity" quote.
By comparison, if we say "Oh, Brother" or "Oh, Lord", that would be more in an evocative sense of a prayer ("Oh, Lord, give me strength...") in which case an article would just be senseless.
"Oh Lord!" is what's called vocative and it should probably be spelled as
When used in the phrase "oh, the horror!" it's an interjection.
Note that there's a comma of difference too: it's not "Oh, Lord!" and not "oh the horror!"
I think it is difficult to compare "Oh Lord" or "Oh Brother" with "Oh the horror". The "horror" is not a person, it describes a state.
The interjection in "Oh the horror" gives the phrase a equivalent meaning to "Oh what a horror".