Oddly enough, some of the happiest people I've ever met were from Latin America. It's amazing how people in some problematic countries or regions can be so joyful and optimistic in spite of their troubles.
I want to say that countries of the former Soviet Union are probably the saddest because most of the countries have continuously ranked among the highest rates of suicide since the '90s. Places like Lithuania, Belarus, and Russia have just finally begun to acknowledge that suicide is a real problem in their region. However, those suicides are overwhelmingly committed by males.