When I think of "sad" endings, I think of deathbed scenes, such as that of Douglas MacArthur in 1964, so well described by William Manchester and others that it brings a weighty despondency and melancholy which lingers for hours.....at least for me.
But as death is inevitable and happens to everyone, I can't think of how I would change that.
However, I would change the ending of Lawrence of Arabia to that of millions of grateful Arabs hoisting him on a throne, making him king of all the lands from Persia to Lebanon, from Turkey down to the bottom of Saudi Arabia, and from Egypt west to Morocco. As liberator of the Arabs, they should've done no less for him.
I know, I know.....