Do you want to piss your readers off? No? Then call a tragedy a tragedy, a drama a drama and a romance a romance.
This question is all about customers' expectations. You can call your story a romance and end it in disaster. But be prepared to disappoint a lot of readers (also be prepared for their reviews).
Of course not all readers expect a romance to end happily. But I think it's safe to say, that most readers do. To start with an opposite view, let me cite the script lab:
Whether the end is happy or tragic, Romance film aims to evoke strong emotions in the audience.
"Happy or tragic", ok, we get it. But it's about movie scripts, not novels. Does that make a difference? I'm not sure. But in my opinion if it ends tragically, why don't you call it a tragedy?
The Romance Writers of America define the basic elements of a romance:
Two basic elements comprise every romance novel: a central love story and an
emotionally-satisfying and optimistic ending.
Happy end! Must-have according to the Romance Writers (whoever they are).
Sarah Wendell and Candy Tan define the "basic formula" of a romance as "deceptively simple":
Boy meets girl.
Holy crap, shit happens!
Eventually, the boy gets the girl back.
They live Happily Ever After.
"Happily Ever After" is written uppercase in the book, no typo from my side. Maybe they want to make a point. (Oh, and they are talking about heterosexual romances only here, where the main audience are women. Maybe it's different for gay romance. I do not know.)
So you can Happily name your tragedy a romance and live Ever After with the angry mob tearing apart your book on Amazon, or ...
As I said, it's all about readers' expectations.