John Calvin Commentary Romans 9:2

"that I have great sorrow and unceasing pain in my heart." — Romans 9:2 (ASV)

That I have great sorrow, etc. He skillfully manages to cut his sentence short, without yet expressing what he was going to say, for it was not yet the right time to openly mention the destruction of the Jewish nation. It may be added that he thereby suggests a greater measure of sorrow, as incomplete sentences are usually full of pathos. But he will soon express the cause of his sorrow, after more fully testifying to his sincerity.

But the perdition of the Jews caused Paul very great anguish, even though he knew it happened according to God's will and providence. From this, we learn that the obedience we render to God’s providence does not prevent us from grieving at the destruction of lost people, even though we know that they are doomed in this way by the just judgment of God.

For the same mind can be influenced by these two feelings: when it looks to God, it can willingly bear the ruin of those whom He has decreed to destroy; and when it turns its thoughts to people, it sympathizes with their afflictions. Therefore, those who say that godly people ought to have apathy and insensibility (ἀπάθειαν καὶ ἀναλγησίαν), for fear that they might resist the decree of God, are greatly mistaken.