Canon catches up with Bill McDonagh at the end: he's captured by Ryan's security force while trying to flee with his wife and daughter. Because he's still liked and respected by the majority of Rapture's citizens, they agree to let Elaine and Sophie go free and give Bill a moment to say goodbye, knowing that he'll be killed as soon as they board the bathysphere. It's hard to say what's sadder: Bill's brave final words to his young daughter ("Goodbye Sophie. Your old dad loves you."); or the knowledge that the next time we see our protagonist, chronologically, he'll be just one of many desecrated corpses of Ryan's enemies decorating his former friend's office.
The disintegration of Rapture was a tearjerker by dint of being a Foregone Conclusion: Yet it starts out so optimistically, with people being proud and awestruck that they built a city under the sea. Then begin the leaks both literal and metaphorical, women forced into prostitution because they can't find any other niche in Rapture and can't get away, the growing prevalence of both Splicers and firearms and finally the death of McDonagh, who was part of Rapture from the start and probably its biggest believer, being shot in exchange for letting his family go free. It's as if that moment marks Rapture's total conversion into the hellhole of the first game.
At this point, you can't help but to feel bad for Andrew Ryan. Watching his descent into paranoia as his paradise crumbled was one thing, but he can't even be there to watch his goons carry out his order to execute McDonagh, as if he's aware that this was the last person left who had trusted him and had been trusted.
A very, very bittersweet tearjerker was that Ryan normally crucified and tortured people who tried to escape, but made his goons, who were also McDonagh's friends, shoot him in the head instead because he couldn't bear to see him die.
"Nyet-he understands better than you think." Karlosky said. "A lot of others here, he watched them die. But... he can't be here for this. He told me, He couldn't stand to watch you die, Bill. Not good friend like you..."
Bill smiled. He never heard the gunshot that killed him.
Diane McClintock's story was already sad, as highlighted on Bioshock's own Tear Jerker page, but the novel makes things even worse. Any time you read about her from Ryan's perspective, he's dismissive of her attempts to fit in among the higher class, wondering if he can push her off on one of his friends, and frustrated that she won't break up with him. Because he refuses to do the decent, honest thing and break up with her himself. Fontaine only ever sees her as a pawn against Ryan. When we finally start reading from her perspective, she comes off as a Death Seeker and is so lonely that what initially attracts her to Atlas is a pamphlet that says, "Yes, someone cares!" And then, just like in canon, as she is welcomed by Atlas' followers and things are looking up, she accidentally uncovers his true identity and gets murdered.
