(저는) 외로워요 or (나는) 외로워. The first one is politer/more formal than the second. They can be translated as "I feel alone/lonely", and "I'm lonely". You can omit the words in brackets if it's clear who you are talking about. Hope this helped :)

Hey Tane, Just wanted to add to xtinee's awesome answer - 외롭다 is the dictionary form. Hope this helps! :)

"아~ 외롭다."

You can also say 난 혼자서 - I'm alone

Thanks in advance! ;p