I have to admit that my first reaction to the term 'saddest' was 'that's a bit superficial'; but when I thought about it it really got the blood coursing. For me, Tiftie's Annie, Lambkin and Sheath and Knife are about 'women as chattels', 'feudal injustice', and 'incest leading to assisted suicide and castration', respectively, and most of the ballads I know are far too many-faceted to be pinned down to one single emotion; that's what makes them so involving. Though I do remember hearing MacColl talk about having to learn the ballad 'Edom o' Gordon' and explaining how he always had a problem identifying and sympathising with the 'family dispute' border ballads. He said he was having no luck with it until he got to the verse where the teenage daughter asks to be saved from the blazing house by being "wrapped in a pair of sheets and thrown over the wall", where she is impaled on the point of Gordon's sword.

And Gordon turned her ower and ower, and oh, her face was white.
"I might have spared that bonnie face to be some man's delight".

And Gordon turned her ower and ower, and oh, her face was wan.
He said, "You are the first I've slain I wished alive again".

Oh woe be to the castle that was built with stone and lime,
And woe be to Lady Campbell herself who was burned with her children nine.

Three of them were married wives, and three of them were bairns,
And three of them were leal maidens who ne'er lay in men's arms.

MacColl said that after that the ballad fell into place; "the waste, the bloody waste of human life - that's what these ballads are all about".

For me, the songs that invoke sadness tend to be the modern compositions: MacColl's 'Ballad of Sharpville", Dallas's 'Tim Evans' and 'Julian Grimeau', Don Lange's 'Allende's Song', Pete Smith's 'Clayton Aniline', all 'murder ballads' in their own way, though the sadness is usually tinged with anger.
As several people have already said, thanks for a thought-provoking question,
Jim Carroll