Come + adjective?

Não tenho ideia.

'I arrived at the ____ feeling sad, but I left happy.' Or, 'I arrived at the ____feeling sad, but I left feeling happy.'

There is nothing at all wrong with your sentence. If someone wants you to use 'sadly' and 'happily' they are over-correcting a non-existent error.

I think it is OK. To make an aphorism you sometimes have to play a little fast and loose with the tenses/sequencing: this poem about architect John Nash, celebrated for his Regency stucco architecture.

'Augustus at Rome was for building renown'd,

For of marble he left what of brick he had found;

But is not our Nash, too, a very great master?

He finds us all brick and he leaves us all plaster!'

I would tend to use arrive to offset leave (as its opposite), but you can use come and leave. I have no problem with the sentence as you have written it.

I came feeling sad and left feeling happy.

I would add a full stop at the end. As a witticism it's fine as it is.

It's fine the way it was. If some English teacher is telling you to fix it, try "I came feeling sad, but left happy."

"Sad" is a predicate adjective that modifies the subject "I", not the verb "came".

If you want to make that more clear to the reader, try:

I was sad when I arrived, but happy by the time I left.

I arrived sad and left happy.