A two-way relay non-orthogonal multiple access (TWR-NOMA) system is investigated, where two groups of NOMA users exchange messages with the aid of one half-duplex (HD) decode-and-forward (DF) relay. Since the signal-plus-interference-to-noise ratios (SINRs) of NOMA signals mainly depend on effective successive interference cancellation (SIC) schemes, imperfect SIC (ipSIC) and perfect SIC (pSIC) are taken into account. In order to characterize the performance of TWR-NOMA systems, we first derive closed-form expressions for both exact and asymptotic outage probabilities of NOMA users' signals with ipSIC/pSIC. Based on the derived results, the diversity order and throughput of the system are examined. Then we study the ergodic rates of users' signals by providing the asymptotic analysis in high SNR regimes. Lastly, numerical simulations are provided to verify the analytical results and show that: 1) TWR-NOMA is superior to TWR-OMA in terms of outage probability in low SNR regimes; 2) Due to the impact of interference signal (IS) at the relay, error floors and throughput ceilings exist in outage probabilities and ergodic rates for TWR-NOMA, respectively; and 3) In delay-limited transmission mode, TWR-NOMA with ipSIC and pSIC have almost the same energy efficiency. However, in delay-tolerant transmission mode, TWR-NOMA with pSIC is capable of achieving larger energy efficiency compared to TWR-NOMA with ipSIC.