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Are there idiomatic Latin exclamations similar to the English "oh no!" used when one finds oneself in an unfortunate situation?

The only thing that I came up with is that I might want to use vae or o one way or another, but I couldn't find anything natural and concise.
O me miserum feels too long, but perhaps Latin has no shorter options.
A short curse like malum! is an option, but the tone is different from "oh no!".

I think the word you want is ēheu, which L&S define as "an interjection of pain or grief".

It's often translated as "alas", mostly because it appears in epic poetry where a grandiose and formal translation is appropriate. But it's also common in the vulgar speech of Plautus, where I would translate it as "ah, f---" or some similar profanity.

Seneca the Younger gave the following irreverent account of Claudius' last words:

Ultima vox eius haec inter homines audita est, cum maiorem sonitum emisisset illa parte qua facilius loquebatur: "vae me, puto, concacavi me." Quod an fecerit, nescio: omnia certe concacavit.

These were the final words he was heard to utter among men, when he had let out a rather loud noise from that part with which he spoke more easily: "Oh dear, I do believe I've shat myself." Whether he did so, I don't know - he certainly did shit all over everything [as emperor].

Therefore vae me! seems another appropriate interjection.

Three options:

1. 
   

   heu

   
   
   

   In the Vulgata, rather than eheu, the word used to express something akin to "Oh no!" (and, as Draconis said, translated as alas!) is heu.

   
   
   

   For instance, a verse which clearly captures the meaning you intend is 2 Kings 6:15:

   
   
   

   
   

   Consurgens autem diluculo minister viri Dei, egressus, vidit exercitum in circuitu civitatis, et equos et currus : nuntiavitque ei, dicens : Heu heu heu, domine mi, quid faciemus?

   
   

   
   
   

   Which a direct translation (see link above) has it as:

   
   
   

   
   

   And the servant of the man of God rising early, went out, and saw an army round about the city, and horses and chariots: and he told him, saying: Alas, alas, alas, my lord, what shall we do?

   
   

   
   
   

   This is also attested in Classical Latin. E.g. see list here.

   
   


2. 
   

   ei

   
   
   

   According to L&S, this interjection is also used to mean "oh, alas!".

   
   


3. 
   

   atat and derivations

   
   
   

   This is an interesting option! It seems more like a malleable verbal expression than a proper word. L&S states that the options are:

   
   
   

   
   

   ătăt or attat , also several times repeated, atatatae, attatatatae, or atatte, atattate, etc.,

   
   

   
   
   

   which can be "an exclamation of joy, pain, wonder, fright, warning, etc.,"

   
   

So now you know. Attatatatae, merus novem dies donec Brexitus!