How do you respond to a dementia patient who is constantly feeling sorry for himself and gets weepy?

Thanks to all of you for your responses. It is so difficult to handle this alone and I must admit that balancing caregiving with my own mental health is taxing. I have some work to do with me!

I respond to what my LO says as if each utterance is a single thought. Some days, she is anxious and very repetitive. Yesterday, she asked me if I had money for the train, a key to the back door, whether the family knew that we were going to Church, numerous times during the 1 1/2 hours I was with her.
I answered each time in a short sentence. I knew she’d ask again.
Other days, she is somewhat more relaxed and open to enjoying our visits, and can enter a discussion with reasonably plausible give and take. I sometimes bring an item familiar to her from her past, perhaps a piece of jewelry or dinnerware from home or a scarf or purse she’d gifted me, and on a good day, she and I can have a conversation of 5 or 6 sentence exchanges.
On “good” days, I “feed” her clues/hints to attempt to allow her to access something she may, or may not, be able to recall. Sometimes in the moment, this works, sometimes not.
My expectations are ALWAYS based on giving her a response of something comfortable and positive IN THE MOMENT. I never expect her to recall, or benefit from, the “conversations” in which we take part. SHE IS JUST NOT AT THAT LEVEL OF THOUGHT NOW.
What you are experiencing with your dad is probably similar. My LOL has benefited a great deal from receiving the services of a very good geriatric psychiatric counselor, who has prescribed and tweaked medications to access LO’s “best”. But no services or medications or hopes can restore what she’s lost.

I think your expectations for your dad may come, at least in part, from your own sorrow about losing him to this tragic disease. It is great that you have been able to separate from the guilt you feel when leaving him while taking well deserved vacations. But “loneliness”, requests to “move”, “feeling sorry for himself”? These are all very likely mental abstractions that are part of his present shadow world thoughts, not the formed, detailed thoughts your sense of empathy may be considering them.

I have come to realize that when I visit and LO is having a good day, and also when I visit and she’s having a difficult day, I leave the facility with tears in my eyes from missing her as she used to be. However I try to change that, my head always knows the truth, but my heart won’t give up wanting it to be different.

It isn’t your “failure” that you can’t help him feel better. It’s the ravages of a disease without a cure. It won’t hurt him if you acknowledge to yourself that you are doing what you can do, and that loving him doesn’t mean fixing him.
Go as often as you can do so COMFORTABLY, but trust yourself to know when YOU need a vacation from the visits, too. You will most likely be answering the same questions, in the same way, when you return.

I’m dealing with the same. Mo. Lost my dad and my brother in 2018. In ALF now. She loves it there but wants to die. My daughter just got engaged. Her old self was obsessed with my two daughter. Her only grandchildren. Now she doesn’t even want to live to see her wedding. Or even go dress shopping. Sometimes I get angry because this is supposed to be a happy time for me.

Has your dad been seen by a geriatric psychiatrist to be evaluated for anxiety and depression?

Meds can't fix everything, but when it appeared that my mom was stuck in and endless "pity party" it turned out that anxiety was the culprit. Meds helped her get back to a calm baseline.

You can’t “fix” this. You will never be able to make him understand or reason with him. Perhaps you are visiting too much. He will ant feeling sorry for himself. He is ancient sick afraid and alone

I don't think there's anything you can do to help your father adjust to having a brain disease, losing his beloved wife, being lonely as a result, and wanting to go back to a place and time when he was healthy and happy. My mother is 92 and living in Memory Care as well. She's in the same frame of mind as your dad, for the most part, except for asking a young man to marry her. She does flirt shamelessly though. I'm not sure there's too much contentment for either of them to find while their minds are sending them conflicting signals and haywire thoughts. My mother complains non stop to me, as the only child, and it definitely takes its toll on me as well. I don't feel guilty about anything though.......I didn't cause her situation, or the fact that she's a widow, or ANY of it. This is life on life's terms.....life in extreme old age, unfortunately. I'm glad they're not suffering chronic pain from cancer, and that they have funds to pay for quality of care, and family who comes to visit and calls. That's the best we can do. The rest we have to let go of, lest we ruin OUR lives trying in vain to fix theirs.

All the best