The character development. If a fanfiction shows a character's downward spiral in a believable way, it becomes sad. For example, if Happy suddenly loses his ability to fly in a story. His normally cheerful self would be so devastated, and seeing his friends try to cheer him up but fail would be really sad.
A sad Fairy Tail fanfiction could focus on Erza. Maybe she gets trapped in a magical dimension where she is all alone. She has to relive all her worst memories and fears. The guild tries their best to get her back, but she starts to lose her will to fight and the fanfiction could explore her inner turmoil and the sadness of being isolated.
Natsu's relationships within Fairy Tail are complex. In sad fanfiction, when these relationships are strained or broken, it creates a very engaging story. Say, if he and Lucy have a falling out due to some misunderstanding, and Natsu is left heartbroken. The readers are already invested in their friendship, so it makes the story compelling.
Think about the themes in Fairy Tail that can be turned into a sad story for your OC. For instance, the concept of friendship. Your OC could be betrayed by a supposed friend in the guild. Develop the OC's character arc in a way that shows their downward spiral into sadness. Show their reactions, like crying alone in their room or avoiding the guild members they used to be close to.
One sad OC (Original Character) fanfic in Fairy Tail could be about an OC who loses their magic abilities. This would be a really tragic story as in the Fairy Tail world, magic is such an important part of one's identity. The character would have to struggle with feelings of worthlessness and isolation.
One sad Nalu story could be about a time when Lucy is in great danger and Natsu is too far away to reach her immediately. He races towards her, fearing the worst, and the sense of impending loss makes it a sad moment. For example, when Lucy is captured by a powerful dark guild and Natsu is on a different mission. He feels helpless and full of self - blame.
One common theme is loss. Maybe Lucy loses a dear friend or a precious magical item in the fanfiction, which makes her sad. Another theme could be unrequited love. For example, if she has feelings for someone who doesn't return them, it would cause her sadness. Also, failure in her missions or not being able to protect her friends can be a theme that leads to her being sad in these fanfictions.
It adds more content. The official Fairy Tail series has a limited number of episodes and chapters. Fanfiction fills in the gaps. For example, it can create stories about what the characters were doing during the time - jumps in the original story.
If Lucy never joined Fairy Tail, the friendships and relationships among the characters would form in a very different way. Also, many of the story arcs might not unfold as they do in the original plot.
One popular theme is alternate universes (AUs). Writers like to explore what would happen if the Fairy Tail characters were in different settings, like a modern - day high school or a steampunk world. Another common theme is romance. Fans often pair up their favorite characters in different relationships, such as Natsu and Lucy or Gray and Juvia.