From most to least heartbreaking for Grayson is: Alice, Juliette, Elsie, Dove, (Mia). The two most likely candidates for dying of unnatural causes are Alice or Juliette.

If Alice died of unnatural causes the most likely thing would be Grayson murdering her. If he did it's likely he'd either beat her to death, strangle her, or break her neck. It would fuck him up severely. He finds Alice's regulation of his behavior annoying but he is unaware how grounded she keeps him. Without her, he would become more violent & unstable.

If Juliette died it would be by suicide and it would destroy Grayson. He would feel as though he failed again. Juliette soothes two of his past aches (his dead fiancée, Simone, and a patient of his who died from suicide named Darcy) and he subconsciously feels as though taking care of her and providing for her amends those mistakes.