Tragedy. For example, many classic plays are tragedies which often tell sad stories about the downfall of the main characters.
Some words for a sad story could be 'tragic', 'heartbreaking' or 'melancholic'.
Gift, rejected, sad. Imagine you put a lot of effort into a gift for someone. It could be a handmade item or something you carefully selected. But then that person rejects the gift. It makes you feel sad because not only is the gift not appreciated, but also your feelings behind it are ignored.
Melancholy tale could be used. It suggests a story that evokes a sense of sadness and pensiveness.
Just focus on a single sad event, like 'Job lost. Future seems so bleak.' It's about capturing a moment of sorrow in just seven words.
A melancholy tale. This term emphasizes the overall mood of sadness and gloom in the story. For instance, a story about a lonely old man reminiscing about his lost love and all the opportunities he missed in life can be called a melancholy tale.
The word 'dirge' can also mean a sad story or a lament. It often refers to a song or poem that expresses grief or mourning. Like in some ancient cultures, a dirge would be sung to commemorate the dead, and it was usually full of sorrowful tales about the person who passed away.