I am sure that there are hundreds of such songs, but the sample size decreases to a more manageable number when you were to list your favorite out of the songs.
Although there are a lot to chose from, my favorite is Veronica, by Elvis Costello. The song takes me back to long ago...memories of an ex lover who committed suicide. I remember listening to the song with him and commenting on it. So, as to the depressive feelings of the song I also have a memory (Albeit depressed) that hits me every time I hear it. These feelings though are also a positive for the good times, though short, we had together.
So what is your favorite song with a girl/woman’s name in the song title?