Well, 'mournful story' is one way. Also, 'gloomy yarn' and 'melancholic anecdote' can be used instead of'sad story'. These expressions not only convey the basic meaning of a sad story but also add a bit of a different nuance. For example, 'gloomy yarn' gives a sense of a story that is not just sad but also has a kind of dark and dreary atmosphere around it, like a story told on a foggy, cold night where everything seems a bit more desolate.
Well, you could also say 'it's over and done with', 'that's the final word on it' or 'case closed'. These expressions are often used to signify that there is no more to be said or added regarding a particular situation or narrative. For example, when you've finished explaining something and don't want any further discussion or argument, you can use one of these phrases to make it clear that the matter has been fully addressed.