That I have great heaviness and continual sorrow in my heart.
Note 2 at Ro 9:2: This is not a contradiction to other statements by Paul (2Co 7:13; Ga 5:22-23; Php 1:4, 18, 2:2, 18, 4:4; Col 1:24; 1Th 3:9, 5:16; and Phm 7). Paul did operate in the joy of the Holy Ghost, just as he told others to do. However, there was this continual heaviness and sorrow in his heart when it came to the unbelieving Jews.
This is comparable to those who have lost loved ones who were very dear to them. In the process of time, they "get over it" to the point that they may be considered very joyful people, but there is always that vacancy in their hearts. Similarly, Paul was rejoicing in the Lord, but he always had this great longing in his heart for the salvation of the Jews.