This is a tricky one.
I remember reading this story about an astronaut being stranded on Mars, most likely an explorer. There were no colonies on the planet. He was alone. He wandered around and found some sort of installation, which lead him into an underground complex.
I remember him walking on the bottom of a canal on Mars and finding something which looks like a manhole. This was the entrance.
There, he met an alien. Turns out there were a few aliens living on Mars. Not native, but there to observe events in the solar system.
The alien looked a bit like a human female, so lets call her "she". She couldn't let him return to Earth after discovering her species' existence, yet she pitied the poor guy. They became friends and he learned her language, began reading the books she brought and learning about her species.
She ended up taking him onto a spaceship back to her home planet. The guy found himself in a tricky spot: the only human around in an alien civilization. They were benevolent but... what use did they have for him?
...And of course, the inevitable happened: they went on a romance... and it ended badly, due to the guy not being able to stomach the extraterrestrial's mating customs. I think she died, but I'm not sure to remember correctly.
I read this around year 2000-2005, and it was most likely a novella, not a full-length novel. The ending is tragic.
Sorry about the lack of information here, this is all I remember, but I'd really like to find this story, so if you have any idea... thanks.