Bridge of Sighs
which connects the palace of the Doge with the state prisons of Venice. Over this bridge the state prisoners were conveyed from the judgment-hall to the place of execution.
I stood in Venice, on the Bridge of Sighs, A palace and a prison on each hand.
Byron: Childe Harold's Pilgrimage, iv. 1:
Waterloo Bridge, in London, used, some years ago, when suicides were frequent there, to be called The Bridge of Sighs.
Source: Dictionary of Phrase and Fable, E. Cobham Brewer, 1894