O.Henry’s choice to focus on themes of loss and illness in "The Last Leaf," as well as his decision to center the story on characters on the margins of society, create a wistful, tragic mood throughout the story.
Tragedy is rooted in this narrative from the very beginning. O.Henry sets his story during a pneumonia epidemic that runs slowly but surely through the neighborhoods of New York. This passage from early in the story evokes a sense of dread and foreboding:
Over on the east side this ravager [pneumonia] strode boldly, smiting his victims by scores, but his feet trod slowly through the maze of the narrow and moss-grown "places."
No reader can mistake the gravity of the situation: pneumonia is a “ravager,” killing his victims “by scores,” and making steady, irrevocable progress through the “places” of Greenwich Village. The reader is informed early on that many people are dying or will die in the world of the story, and that they will die in a manner which is extremely painful and nearly impossible to evade (recall the high mortality rate of pneumonia during this time).
To compound the issue, Greenwich Village is portrayed as a place whose strongest point of commendation is that it is impossible for debt collectors to navigate. The infrastructure challenges in the Village are clear from its crumbling bricks, and the economic struggles of its residents the subject of more than one conversation. Though this story contains what might be considered Romantic or sentimental themes, it is also rooted in the tradition of naturalism, and O. Henry is dedicated to portraying the squalor these artists live in clearly. When Behrman falls ill, he is found in his apartment “icy cold” and “helpless with pain," details which drive home the deprivation in which he lives.
Behrman, Johnsy, and Sue are locked in brutal economic conditions with no apparent way out. Their interior lives are marked by longing. They long for art (Behrman's desire to paint a masterpiece), for stability (think of Sue toiling all night long on a single painting to pay the bills), for escape from their circumstances at all costs (even, in Johnsy’s case, through death). Altogether the effect creates a mood of wistful desire throughout the story; all that sustains these characters in the face of it is their friendship with one another.