Sure! Sometimes it is because society tells us "what being normal is". We have representations of "what being happy should be". Then we look inside and see we do not fit in those models. Sometimes we do not cover other people expectations then they think/tell we are weird and they discriminate us. Then somehow we internalize that and we feel we are weird and abnormal. But if we met with other freaks like us in a ghetto, we feel better.
Sometimes I think we have a certain amount of sadness running free in our mind. Then the sadness sticks to an idea and we think we are sad because of that, but in reality the sadness was already there because of the way our brain works. And many other causes and combinations of causes that I cannot even imagine. But, yes, I bet there are many people in this world that think there is something really wrong with them.
I am sending you a hug