Expression: Heureux au jeu, malheureux en amour
Pronunciation: [eu reu o jeu ma leu reu a(n) a moor]
Meaning: lucky at cards, unlucky in love
Literal translation: happy at the game, unhappy in love
Notes: The French proverb heureux au jeu, malheureux en amour is a cute way of saying that you only get so much luck and happiness. If you're good at cards or sports, you've used up your "quota" and have bad luck when it comes to relationships.
Like the English equivalent "lucky at cards, unlucky in love," heureux au jeu, malheureux en amour is not necessarily said when someone actually wins a game and loses his girlfriend on the same day, but rather tends to be used as a sort of consolation when someone does really well at cards: "OK, so you won a bunch of money, but you're probably either single or unhappily married."
Another way to talk about just the lucky part in English is with "(to have) the luck of the devil," which has two French equivalents:
Informal: avoir une veine de pendu - literally, "to have a hanged person's luck"
Familiar: avoir une veine de cocu - literally, "to have a cuckold's luck"