There aren't 'saddest', there are just heaps of 'sad'...like dead & dying kids, as in "Little Joe" and "Put My Little Shoes Away" and SO many songs of lost love, and things about lost DEAD love, like "Do You Think That I Do Not Know?".....

....and songs of leaving one's homeland.., and songs of unrequited love..(well, the good ones, anyway)..

too many to make a choice. (CERTAINLY not "Kilkelly, Ireland" ..which is "Long, & dreary" and is so overdone that I can no longer evaluate it!)