The most common and most likely answer to this crossword clue is the 5 letter word WEEPY
I've seen this crossword clue in Financial Times
W
E
E
P
Y
More clues leading to the result WEEPY
Buddy explains!

The straight part
We know that "sad" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case sad = weepy.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does WEEPY mean?
WEEPY noun- A sad or sentimental film, often portraying troubled romance, designed to elicit a tearfully emotional response from its audience.
- Inclined to weep; tearful or lachrymose.