The following abstract tip-toes around the point that there is no evidence it ever caused suicides but the history and hand-wringing about the song are interesting in themselves.
Gloomy Sunday: did the “Hungarian suicide song” really create a suicide epidemic?
Omega (Westport). 2007-2008;56(4):349-58.
Stack S, Krysinska K, Lester D.
The effect of art on suicide risk has been a neglected topic in suicidology. The present article focuses on what is probably the best known song concerning suicide, Gloomy Sunday, the “Hungarian suicide song.” An analysis of historical sources suggests that the song was believed to trigger suicides. It was, for example, banned by the BBC in England until 2002. The alleged increase in suicides in the 1930s associated with the playing of the song may be attributed to audience mood, especially the presence of a large number of depressed persons as a result of the Great Depression.
The influence of music on suicide may be contingent on societal, social, and individual conditions, such as economic recessions, membership in musical subcultures, and psychiatric disturbance. Further research is needed on art forms, such as feature films, paintings, novels, and music that portray suicides in order to identify the conditions under which the triggering of suicides occurs.
It is indeed kinda gloomy, but it’s hardly like to spark a wave of suicidal thinking.
There is, however, a minor history concerning how works of art affect real-world suicide practices.
Most famously, the Aokigahara forest in Japan at the base of Mount Fuji has become a common suicide destination after the characters in Seichō Matsumoto’s 1961 novel Kuroi Jukai end their lives there.
Link to abstract of article about ‘Gloomy Sunday’ on PubMed.