I’m taking straight off the bat. It just gives that vibe of sadness/melancholia.(Not because it sounds crap lol). Every-time its played makes you feel a sense of sadness/reminisce etc.
I think theremins at least express melancholy the best.
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As for synths I’ve owned… I’d say Sequential Rev2, Dreadbox Nyx V1 or Korg Lamda.
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I like the OB-Xd for this. I always seem to get something melancholic (or sad, dark, mysterious, etc.) out of it. And it’s free “for non-commercial use”.
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I’d have to say mine… my synth is definitely the most melancholic. 
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I read about the terrible tragedies of mans inhumanity to man and recorded the sounds of my subsequent tears falling into my KD lit by a single bare lightbulb in my squalid studio apartment next to the railroad tracks and downwind from the rendering plant, then loaded those onto my OT
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Digitone.
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Ondes Martenot / Ondomo :]
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Ensoniq ESQ-1 or SQ-80
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Plinky is advertised as such:
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The Junost-21 I talked down mightily in another thread is pretty bleak. I keep it around for that goth album I’ll probably never make.
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Lyra 8
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100% Lyra 8. I love it, but that thing can get pretty out there fast
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Any synth through a Quadraverb.
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Lyra 8 through Quadraverb.
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Korg Volca Keys is pretty melancholic. So are most dreadbox synths.
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Pete drake’s guitare ofc
… Or musical saw, maybe.
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Isnt the most melancholic “sound” a train horn in the distance in the middle of the night?
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According to the Romantics, it’s the absinthe 
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+1 on both volca keys and the dsi prophet 8/rev2/mopho/tetra family
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