"राज बहुत दुखी है।"

Translation: Raj is very sad.

[UNDPyo]

Why is sad feminine when Raj is masculine?

[zeebo7]

The word is just दुखी, it always has an ई at the end irrespective of gender.

[GulliverBM]

A handy mnemonic to remember this word: dukhi probably stems from the same words as Sanskrit/Pali Buddhist-term "dukkha" - which means suffering or discontentment. If you remember "dukkha", you'll remember "dukhi"!

[vinay92]

Yes. Both the Hindi दुख ('dukh') and Pali 'dukkha' come from the Sanskrit दुःख ('duḥkha').
दुखी is the adjectival form of दुख.

[Owen-Benjambavan]

'raj is really sad' was marked wrong.

[sivadurga7]

Why here we mentioned thukki instead thukkha

[vinay92]

Some adjectives change form with gender while others have a single form.

दुखी (dukhi) belongs to the second category. It is always दुखी irrespective of gender.