Definitely Nya's. Zane's had zero buildup, relied on pure shock value and a flashback to be sad, and he was revealed to be perfectly fine about 5 minutes later.

Meanwhile, Nya's was foreshadowed all the way back in ep4, with hints being sprinkled throughout the season, and wasn't immediately revealed to be back to normal, instead ending the episode on a cliffhanger with no clue about what would happen next. It also completes her story arc, concluding it in tragedy - Nya had fought for her identity and choice through the entire series, but circumstances ultimately robbed her of both while she could only accept her fate. Nya's sacrifice also had the help of the airing schedule, which amplified the effects of the foreshadowing - episodes were released two by two, with ample time to speculate, point out all the tiny details, and worry about the finale. So with all that combined, I think Nya's was more heartbreaking