There is no credible evidence to suggest that Albert Einstein was sad or distressed during the last days of his life because he was unable to prove the non-existence of God or disprove the idea of a universe created by natural processes. It is important to separate Einstein's scientific contributions from his personal beliefs and philosophical views.
Einstein's stance on religion and the existence of God was complex and evolved throughout his life. While he often expressed a sense of wonder and awe towards the beauty and order of the universe, he did not adhere to a traditional religious belief in a personal God. He described himself as a "pantheist" and believed in a form of Spinoza's God, which equated God with the laws of nature.
However, Einstein's philosophical and metaphysical views should not be conflated with his scientific work. As a scientist, he focused on advancing our understanding of the natural world through empirical observation, mathematical equations, and theoretical models. While he made groundbreaking contributions to physics, including the theory of relativity, his scientific work did not directly address questions of God's existence or the nature of the universe's origins.
It is important to approach discussions about Einstein's personal beliefs with caution and rely on documented sources and direct statements from Einstein himself. While he did discuss his thoughts on religion and philosophy, attributing specific emotions or states of mind to his final days would require substantial evidence, which is not readily available.