A sarcastic saying used when a person tells another person of something mildly unfortunate that has happened to them, sometimes exaggerated in order to gain sympathy. It implies that the person speaking of their misfortune expects someone to come in playing the saddest song in the world on the worlds smallest violin to correspond with the apparent tradgedy of the situation. Sometimes the person saying this will mime playing a small violin, or try and imitate the sound of a violin.
Jade: Hello, how are you?
Laurel: I just stepped in dog poop and my new shoes got ruined and my feet smell like dog poop, and-
Jade: -Shh... hear that? i'm playing the world's saddest song on the world's smallest violin (mimes playing small violin)