Man, I have loads of songs like this. One of my favorites is "Workin' in Corners" by Nanci Griffith. It's not exactly tragic, but it has an aching sort of loneliness that I find it all too easy to identify with.

It's a southern road west of New Orleans
I'm fightin' off a cold from these winter rounds
Houston, She's just around the corner
But I think I'll stop off here in Lafayette, Lord, and have me another round

Chorus:
I've been workin' in corners all alone at night
Pullin' down whiskey, keepin' my eyes away from the lights
I'll never be a fool but I will gamble foolishly
I never let go of love till I lost it in my dreams
I don't want to go to sleep 'cause I just might dream

I'm stronger now, there was a man in my hometown
He sang so pretty I'm glad he turned my head around
But I'd forgotten how to play a one night stand
Lord I didn't have a word to say just holdin' a stranger's hand

(Repeat chorus)

These city streets at five in the mornin'
I would've stopped to phone you but I'm almost home
At my back door there's a porch light that's shinin'
I just don't mind livin' here by myself if I leave it on

(Repeat chorus)

I don't want to go to sleep
'Cause I just might dream
Don't want to go to sleep
You know I sure can dream
And I sure can dream
Sure can dream