Power dynamics. If Rias has more power in the relationship or in the world they exist in, and she uses it in a way that makes Naruto feel small or unimportant, it could break his heart. For example, if she makes decisions about their relationship without considering his feelings because of her higher status.
In this kind of fanfiction, Naruto being heartbroken by Rias could be due to a variety of reasons. Maybe Rias betrays Naruto in some way, like choosing someone else over him in a crucial situation. Or perhaps there are misunderstandings between them that lead to Naruto's heartbreak. It could also be that Rias has to follow some rules in her world that go against Naruto's expectations, causing their relationship to shatter.
One possibility is a power struggle. If the fanfiction sets up a scenario where their two worlds collide and there's a need to assert dominance, Naruto might see Rias as an obstacle and eliminate her. Another reason could be mind control. If Rias is controlled by an evil force and Naruto has no other way to stop her, he might be forced to kill her.
In such a fanfiction, Naruto might lose someone he deeply loves, like Hinata. This could lead to him withdrawing from the village life. He'd be so heartbroken that his godlike powers might seem useless. He could go on long solo journeys, haunted by memories, and it would be a very different Naruto from the always - optimistic one we know.
Naruto might be angry at first. He is not one to take betrayal lightly.
One possible plot twist could be that their engagement is part of a political alliance between the ninja world and the supernatural world of Rias. But then they discover a hidden conspiracy within the alliance that threatens both their worlds. So they have to work together to uncover the truth while also dealing with their growing feelings for each other.
One possible reason could be unrequited love. Naruto might have developed deep feelings for Ino, but she has her eyes set on someone else, like Sasuke. This would leave Naruto heartbroken as he realizes his love will not be reciprocated.
Maybe they meet when they are very young. Naruto, being an outcast in his village, and Rias, who might be facing some politics in her devil world. They bond over their shared feelings of loneliness and not being fully understood. As they grow up, they help each other out. For example, when Naruto has to face powerful enemies in the Chunin Exams, Rias could use her devil powers secretly to assist him without getting caught.
The plot could involve Naruto using his knowledge of chakra to diagnose Rias' brother's illness. He might discover that it's not a normal sickness but something related to the supernatural nature of their world. For example, his chakra flow could be disrupted by a dark magic spell.
One possible reason could be a failed relationship. In the DxD fanfiction world, Naruto might fall in love with a character, but due to differences in their goals or the interference of others, the relationship fails. For example, if he falls for a devil girl who has to follow the orders of her clan which oppose her being with Naruto. Another reason could be the loss of a dear friend. Maybe one of his newfound friends in the DxD universe betrays him or gets killed, leaving him heartbroken.
One possible plot could be that Naruto discovers that his friends have been keeping secrets from him that make him feel betrayed. For example, they might have made a deal with the village elders that goes against Naruto's values. This would break his heart as he thought they were all in it together. Another idea is that the villagers, who he has tried so hard to protect and earn the respect of, suddenly turn on him due to false rumors spread about him.