Im sorry to say this but unless you've played 358/2 days and BBS you don't know true sadness. both are sad tales but my heart does and always belong to days because if you actually played the game on DS you get emotionally attached to Xion, Axel, and Roxas by spending so much time getting to know them but in the end Xion 'dies' in Roxas's Arms only then to have a final falling out with Axel and be KIDNAPED by Riku/Ansem only to fail at fulfilling Xion's final wish of setting kingdom hearts free. compared to tera being norted becoming terranort and ventus being set to sleep for just about forever while aquas in the world of darkness only to be ditched by mickey. so between both these heartbreakers bolth trios are separated but in Days people lose each other without the knowledge and xion is permanently cast out of the series roxas is KIDNAPED by some stranger (Riku) and axel is hated by everyone he "loved" while no one dies or is cast out in BBS but ventus is taking a very long cat nap terra was taken over and aqua to be stuck in the world of darkness with no way out because SOMEONE LOCKED THE DOOR ON HER (Sora) so i'm more lenient on days but unless you've PLAYED everything before KH3 you really dont have the rights to choose the best (I mean actually played the game not watched cutscenes) just like how a lot of people voted that terra had a sadder backstory which was just under roxas's and above xion's somehow even though most players haven't played Days because they either watch cutscenes or buy a ds and ds game. but now let's get down to business the saddest kingdom hearts is...
EVERYTHING because its all intertwined with one another but in all seriousness if I had to pick it would be days.