The Fact That I found In Wikipedia
Urban legends
There have been several urban legends regarding the song over the years, mostly involving it being allegedly connected with various numbers of suicides, and radio networks reacting by purportedly banning the song. However, most of these claims are unsubstantiated.
Press reports in the 1930s associated a number of suicides, both in Hungary and America, with "Gloomy Sunday", but most of the deaths supposedly linked to it are difficult to verify. The urban legend appears to be, for the most part, simply an embellishment of the high number of Hungarian suicides that occurred in the decade when the song was composed due to other factors such as famine and poverty. No studies have drawn a clear link between the song and suicide.
In January 1968, some 35 years after writing the song, its composer Rezső Seress did commit suicide. He survived jumping out of a window in Budapest, but later in the hospital choked himself to death with a wire.
The BBC banned Billie Holiday's version of the song from being broadcast, as being detrimental to wartime morale, but allowed performances of instrumental versions. However, there is little evidence of any other radio bans; the BBC's ban was lifted by 2002.