The Tunnel by Ernesto Sabato. It's a short novel about a man who writes from prison to explain why he killed the woman he loved (that's how the novel begins, no spoilers). I prefer Sabato's second novel,
On heroes and Tombs, by that's by no means a short one. I don't think they've been released as ebooks, though.
The Lover by Marguerite Duras. It's the story of a French girl isolated in the Indochine, a French colony by then (Vietnam and Laos nowadays, I think). She is in love with a foreigner she despises. Very erotic and sad.
Norwegian Wood by a Haruki Murakami. It's not a short novel, but it's a very sad and moving love story; the main characters feel very lonely indeed.
Dying Inside by Robert Silverberg. About a telepath who is losing his ability to read other people's minds and begin to feel an invisible wall around him.
The Book of Disquiet by Fernando Pessoa, widely considered the best Portuguese poet ever. This is not a book of poems, though. I think this is the only book I haven't able to finish because it made me feel too sad.
I can't recommend you poems, as I only read poetry in Spanish, my native language.
Well, that's enough loneliness for now.