Additional tragedy comes after that when she still couldn't find the strength to leave Jake alone, even though she did it for Pedro. Perfaps .

I don't think it's a tragedy, not truly. Unlike Pedro who is young and naive, Jake knows her and more importantly, he knows himself. He knows what he's getting himself into as he says so himself in chapter 14:

Women made such swell friends. Awfully swell. In the first place, you had to be in love with a woman to have a basis of friendship. I had been having Brett for a friend. I had not been thinking about her side of it. I had been getting something for nothing. That only delayed the presentation of the bill. The bill always came. That was one of the swell things you could count on. [...] You paid some way for everything that was any good. I paid my way into enough things that I liked, so that I had a good time. Either you paid by learning about them, or by experience, or by taking chances, or by money. Enjoying living was learning to get your money’s worth and knowing when you had it. You could get your money’s worth. The world was a good place to buy in. It seemed like a fine philosophy. In five years, I thought, it will seem just as silly as all the other fine philosophies I’ve had.

And also at the very end:

Brett moved close to me. We sat close against each other. I put my arm around her and she rested against me comfortably. It was very hot and bright, and the houses looked sharply white. We turned out onto the Gran Via.

“Oh, Jake,” Brett said, “we could have had such a damned good time together.”

Ahead was a mounted policeman in khaki directing traffic. He raised his baton. The car slowed suddenly pressing Brett against me.

“Yes,” I said. “Isn’t it pretty to think so?”

I think they're perfectly fine friends, messed up as they are. There's a certain strange emotion there that is quite rare and far more beautiful than the one usually found within the bounds of a happy ending. Or alternatively, it's a horribly unhealthy relationship and they should block each other on FB, it's often difficult to tell with these things...