The original phrasing is in yiddish, which is Oy vey ist mir (אױ װײ איז מיר). This is just a simply phrase that is said when something bad happens to oneself. According to google translate, the closest translation is Ho ve al mi, but this translation seems off to me. Is this the correct way for translating this?
Yes it is.
Ho, ve al mi! morti en la brakoj de fremdulo!
Oh, woe is me! to die in the arms of a stranger!
That is from Zamenhof's own translation of Schiller's play Die Räuber. The original German reads
—weh mir! sterben in den Armen eines Fremdlings—
Other examples show that the word estas can be included: e.g. ve estas al la viro, kiu...
Ho ve al mi is fine. mir is the singular first person pronoun in the dative case. English marks the dative with the preposition to, which in this translation was somehow left out. Esperanto marks it with the preposition al, thus mir translates to al mi. The Esperanto translation leaves out the verb "to be", but I consider this a good choice, since the whole phrase is an interjection.