What is the lady sorrowful about?

The poet doesn't actually reveal what the lady is sorrowful about. However, there are several explanations for why she may be sorrowful. The most likely explanation is that she is sorrowful because she knows that she can never marry a human being. Therefore, she can never experience the joy of love, at least not in the way humans experience it.
Let's take a look at the poem.
In the eighth stanza, we learn that the lady begins crying and sighing mournfully after she brings the knight into her elfin den. We are also told that the lady's eyes seem wild in appearance. In fact, the poet uses the word "wild" twice in reference to the lady's eyes. This indicates that the lady is suffering from deep emotional anxiety.
She is greatly troubled, and in response, the knight inundates her with kisses on her eyes.
By all indications, the lady is a fairy of some sort. She is described as a "faery's child" and later sings a "faery's song" to the knight. Prior to bringing the knight to her elfin den, she plies him with exotic treats from the natural world. She feeds him "roots of relish," wild honey, and "manna-dew." The knight finds himself falling under her spell.
However, the fairy-lady begins to sob after the two enter the elfin den. Shortly after, the lady lulls the knight into an enchanted sleep. While sleeping, the knight sees images of pale kings, princes, and warriors. All of them look like corpses. When the knight wakes up from this terrible dream, he finds himself alone on the side of a hill. The fairy-lady is nowhere in sight.
The knight acknowledges that he now resembles the pale-looking men he saw in his nightmarish dream. So, the knight's fate tells us why the fairy-lady was sorrowful: She has loved many human men but can never join her life with theirs. Instead, she must leave their presence after enjoying elaborate courtship rituals, time and time again.