Jago says he is between Scylla and Charybdis, meaning there are no good options left, he faces death or imprisonment.
Scylla and Charybdis are the great sea monsters Odysseus had to face in Homer's epic The Odyssey.
They lived either side of a narrow strait that Odysseus's ship had to navigate to get home, one the source of a whirlpool which swallowed ships whole, the other a 6 headed creature which plucked sailors from the decks of passing ships.
The exterior of the Prydes home is shown as Berkeley Castle and the interior is Chastelton House.