虞 evokes Emperor Shun's legendary 有虞氏 clan and 虞姬 (Lady Yu) — Xiang Yu's tragic concubine in the 项羽 story, immortalized in the opera 《霸王别姬》 (Farewell My Concubine). In modern usage, mainly survives in set phrases: 不虞 (unexpectedly), 无虞 (no worries), 尔虞我诈 (mutual deception).
虍 is the tiger-stripes radical, the upper portion of 虎. Wrapping over the top-left, it gives 虞 the literary, slightly menacing flavor of the tiger family — appropriate for a word originally meaning to anticipate danger.
吴 supplies a faint sound contribution (wú shifted to yú by phonetic drift). The same phonetic appears in 误娱蜈. The chattering sense once also linked 虞 to anticipation through nervous talk before something happens.