Well, 'setsunai' is also a word that can express sadness at the end of a story. It implies a more poignant or heart-wrenching kind of sadness.
One common Japanese word for 'sad' when a story ends could be 'kanashii'.
One common Japanese word for 'sad' when a story is over could be 'kanashii'.
Some words for a sad story could be 'tragic', 'heartbreaking' or 'melancholic'.
You can say '鎮层仐銇勭墿瑾' (kanashii monogatari). That's a straightforward way to refer to a sad story.
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.
The word 'story' can be written as 銆屻偣銉堛兗銉兗銆 in Japanese.