Tear Jerker / Warhammer 40,000: Darktide

• When selecting a character's home planet, one of the options is Cadia... which is nothing but a collection of rocks in space thanks to the Fall of Cadia. Can also fall into Black Comedy territory.
• Darktide repeatedly tells us that the areas the players find themselves deployed to were already long abandoned by the Imperium and left without any kind of administrative support for decades, perhaps even centuries, before the cult became an issue. A reminder that, like its Emperor, the Imperium is but a decaying shadow of its former glory.
• One dialogue exchange has the Veteran lamenting the Fall of Cadia, to which the Psyker replies that, according to his "Beloved" (heavily implied to be the Emperor himself), it wasn't his fault at all. The Veteran responds by wishing it was true.
• While most dialogue of teammates being downed is about the tone you'd expect from a grimdark setting, the Professional Veteran sounds genuinely dismayed if an Ogryn ally is killed.
  Veteran: [Upon Ogryn ally being downed] Big man! No!
  Veteran: [Upon reviving Ogryn ally] We can't do this without you, Big Man!
• Some of the mission failure cutscenes can be both this and Nightmare Fuel, such as the downed squad lying dead on fleshy corruption that appears to be consuming them.
• Some of the Medicae Servitor quotes fall into this. Especially for those familiar with 40k lore, who know that Servitors are criminals (or just really unlucky people) that have been turned into lobotomized cyborgs with their minds completely wiped. Most of the time.
  Medicae: Please take me with you, I'm so lonely...