Visual navigation is a fundamental problem in embodied AI, yet practical deployments demand long-horizon planning capabilities to address multi-objective tasks. A major bottleneck is data scarcity: policies learned from limited data often overfit and fail to generalize OOD. Existing neural network-based agents typically increase architectural complexity that paradoxically become counterproductive in the small-sample regime. This paper introduce NeuRO, a integrated learning-to-optimize framework that tightly couples perception networks with downstream task-level robust optimization. Specifically, NeuRO addresses core difficulties in this integration: (i) it transforms noisy visual predictions under data scarcity into convex uncertainty sets using Partially Input Convex Neural Networks (PICNNs) with conformal calibration, which directly parameterize the optimization constraints; and (ii) it reformulates planning under partial observability as a robust optimization problem, enabling uncertainty-aware policies that transfer across environments. Extensive experiments on both unordered and sequential multi-object navigation tasks demonstrate that NeuRO establishes SoTA performance, particularly in generalization to unseen environments. Our work thus presents a significant advancement for developing robust, generalizable autonomous agents.

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