It could involve the mudbray being sick.
Maybe the mudbray was bullied by other stronger Pokémon, which is a common source of sadness in these fictional stories. For example, they might take away its food or the nice place it liked to rest.
One possible element is that the mudbray's home was destroyed. If it lived in a certain area, like a forest clearing, and that was damaged by a natural disaster or by the actions of humans, the mudbray would be sad because it lost its familiar and comfortable home.
Well, without more details, it's hard to say exactly. But perhaps the sad mudbray story could involve the mudbray getting lost in a dangerous area. Maybe it's separated from its herd and has to face many difficulties all alone, like finding food and shelter in an unfamiliar place. It could also be that it was mistreated by humans or other Pokémon, which led to its sadness.
One possible element could be unrequited love. Maybe the Valkyrie fell in love with a mortal, but due to her divine nature and the rules of the cosmos, they couldn't be together.
Maybe a rocket explosion during launch is part of it.
Sure. It could be a financial struggle. Maybe James lost his job and couldn't support his family.
One possible element could be unrequited love. Maybe Rekful fell in love with someone who didn't feel the same way, which can be a really sad situation.
One possible element could be loneliness. Maybe Black Sherif is all alone in his struggles, with no one to turn to.
Perhaps there's a story of a scout who dreamed of being the best on his team. He trained hard every day but was always overshadowed by a new recruit who seemed to have natural talent. This made the scout feel sad and unappreciated. Or it could be about an engineer who built an elaborate base, only to have it destroyed by the enemy team right before victory was in sight.
Maybe the cat, despite all the sadness, manages to form a little community with other stray animals for support and survival. Or it could be that an animal rescue organization steps in and takes the cat in, nurses it back to health if it was ill, and then finds it a forever home.
It could be that the owner of the tail has a dream or a goal related to his tail. For example, a bird with a beautiful tail wants to participate in a bird - beauty contest. But then something bad happens, like his tail gets damaged in a storm. He then loses his confidence and the hope of achieving his dream, which makes for a really sad plot.
One possible theme could be loss. Whether it's the loss of a relationship, a job, or something else dear to Algren.