Famously, when asked to write the world's shortest story, Ernest Hemingway responded with the magisterial "For Sale: baby shoes, never used." I'm not sure if that story is apocryphal at this point; it's not really important.
If this is the world's shortest tragedy, we might have a harder time nailing down the world's longest piece of tragic fiction. Does War and Peace count? How about Infinite Jest? If we consider it all as one work, Marcel Proust's La Recherche du Temps Perdu is probably at once the saddest and longest piece of literature in the Western canon. And we could add more candidates from non-Western culture, as well as non-canonical pieces.
But what the unanimously agreed upon shortest sad story and the vast field of longer sad stories have in common is that both categories are tragic because the end comes too soon. In Hemingway's story, the shoes remain unfulfilled in perpetuity only because the baby ended before she began. In Proust's autopoetic epic, the tragedy is as much the inability for Proust in real life to fulfill his life as a gay man as it is the failure of memory. We reach the ends of these literary pieces wanting more and getting nothing.
The story should have gone on -- Romeo should probably have figured out that Juliet was still alive; Hamlet should not have slain Polonius -- but it does not. Aristotle classically described the appeal of tragedy as that which purges fear and shame from its audience, but Aristotle was never really concerned with the aftermath of all of this catharsis. As it happens, except in Greek tragedy, when the end comes, it's never really satisfying.
In this way, we might reflect on the nature of endings as such, and with an obvious (though, for a moment, happily unacknowledged) impetus. Frank Kermode's literary critical opus The Sense of an Ending (not to be confused with the recent bestseller by Julian Barnes) focuses on the fatal flaw of the novel as a genre, namely that it never seems to be able to produce a good ending. Kermode comes to many conclusions, and I won't corrupt what is one of the more readable candidates from my own profession in the interest of giving you a really literary historical blow by blow. Suffice it say, though, I think I am in agreement with Kermode when I say that the reason the novel can't seem to end sufficiently is that it is the literary documentation of every day life. Epics concern heroes (though they come close to the novel; saved only by the gods); poems rely upon the tyrant of form; plays gesture toward futurity in their very temporality. But the novel, like everyday life, just ends.
We pursue a narrative looking for satisfaction, and what is satisfying about the end is undercut by its very finitude. Not all ends get tied up. Not all answers are given. Sometimes the conflict isn't even resolved (for a good version of this, see the film/novel LTG8 and I were discussing just two hours hence, the wonderful No Country for Old Men). The end simply comes, and then?
Kermode is not very poetic, but as a literary critic, he is exceptional, and he has his moments on anyone's terms as well. Taken from the introduction, "The End," of The Sense of an Ending (the Oxford University Press edition):
It is not expected of critics as it is of poets that they should help us to make sense of our lives; they are bound only to attempt the lesser feat of making sense of the ways we try to make sense of our lives. This series of talks is devoted to such an attempt, and I am well aware that neither good books nor good counsel have purged it of ignorance and dull vision; but I take comfort from the conviction that the topic is infallibly interesting, and especially at a moment in history when it may be harder than ever to accept the precedents of sense-making -- to believe that any earlier way of satisfying one's need to know the shape of life in relation to the perspectives of time will suffice.
...
Men, like poets, "rush into the middest," in medias res, when they are born; they also die in mediis rebus, and to make sense of their span they need fictive concords with origins and ends, such as give meaning to lives and to poems. The End they imagine will reflect their irreducibly intermediary preoccupations.
So long, Roy. We make fun of the importance of sports and act ironic a lot in an effort to make it seem like we don't give a damn about our own "irreducibly intermediary preoccupations." But what you did meant a lot to me, and to a whole bunch of other people.
We're just sad to see it end.