It's so nice that you looked the word up on google, I appreciate that! Hmm.. I'm not sure what's so melancholic about being Portuguese/Brazilian. We have a lot of authors that talk about this feeling and we grow up reading, learning and listening about it so it's part of the culture. It might be in our blood, too! Who knows hah
There's a Portuguese song called "Desfado" by Ana Moura that talks about how inconsistent we can be, it says 'I have saudades of having saudades' (what??) So yeah, it doesn't make sense but it doesn't need to! I don't think there's a right or wrong way of defining it, each person has his/her own ways of feeling it. And that's ok! We perceive things diferently.
I'm not sure if it has to do with feeling sorry for yourself, at least in my point of view. I think it's more accepting/embracing the melancholy instead of hiding it. There's something magical about it. I don't know, haha Not sure if I'm making sense!!
Anyways, thank you @glenalbrethsen so much for your comment & reflexion !!! :)