There is a Portugese word, saudade, which is not translatable but it includes melancholy along with other sad feelings. It seems to be so much a part of Portugese identity that Brazil has a "day of saudade" every year on January 30. Google "saudade" to learn more. Especially read Wikipedia's article. However, it doesn't exactly fit the definition you gave.
Yeah, i know about saudade. This word appears almost in every article about "Portuguese melancholy" google can find but i'm still not satisfied with it. Maybe there's something else? I think, it might be a French expression, especially taking into account that Modiano is a French-speaking writer. It's also possible that the translator who worked on my book changed the original phrase to this, well, in this case, there's nothing to talk about :-)