I'm not sure specifically which 'valkyrie sad story' you mean. It could be about a Valkyrie in Norse mythology who faced some kind of loss, like losing a loved one in a battle or being unable to fulfill her duties for some sad reason.
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.
In most cases, the story of Valkyrie is not real. It typically exists in the realm of fantasy and cultural imagination, with elements drawn from ancient myths and storytelling traditions. These stories are often used to convey symbolic or moral messages rather than representing actual events.
The Valkyrie origin story has roots in Norse mythology. Valkyries were female figures who served Odin. They were often depicted as choosing who would die in battle and who would be taken to Valhalla. They were seen as fierce and powerful, flying over battlefields on their horses.