I'd like to mention every main character in Hotline Miami 1 and 2.
Jacket manages to beat the mafia, but they weren't even the villains, and he only ended up helping the villains then being thrown in jail to die.
Biker manages to find the villains but by then it's too late.
Beard manages to save Jacket but is killed in an explosion caused by events out of his control.
The Fans are killed trying to follow in Jacket's footsteps.
Manny Pardo manages to follow the Miami Mutilator's tracks but, in the end, never catches him and ends up too afraid to continue working. He also did nothing wrong.
The Writer has to choose between giving up on his dreams or giving up on his family.
Jake is either killed by the Russians he hates, or the organization he trusted with his life.
Richter manages to start a new life, but shares the same fate as Beard.
Pig buddy is a joke character.
Also, OP, I can't fully understand what you mean by 'vulnerable' and I think you mean to ask for characters that are 'powerless', to quote the person who inspired you to make this thread. You're looking for characters who, even when they do all of the right things, are unfairly punished and ultimately achieve little or nothing at all.