heu

Heu is a cry of grief, and it belongs to poetry and high rhetoric rather than to conversation. Virgil uses it constantly, Caesar never. Beside it sit eheu, which is heavier still, vae, which is a threat as much as a lament and is the word behind vae victis, and o, which is neutral and can introduce joy or address.

Grammatically it stands outside the sentence and governs nothing, but it attracts the accusative of exclamation: heu me miserum, "alas for wretched me", with no verb anywhere. That accusative is a small closed idiom, so learn it as a unit. English has nothing descended from heu; alas came from Old French a las, "ah weary", and the nearest Latin survival in English is the vae of "woe betide".