From the Super Mario Wiki
Sad Paragoombas are a type of Paragoomba infused with power from the Vibe Scepter. As the name implies, they spend their time flying about while crying hysterically, as they are, in all effect, a Sad Goomba with wings. The only difference between a Paragoomba and a Sad Paragoomba is that while a Paragoomba flies all about the screen, the sad variety follows a set pattern. Their only appearance they have made is in Super Princess Peach.