Found: modernist series about a soldier who had a love affair that ends in suicide

Looking for a trilogy or quartet of books for my sister. It's about a man who fought in WWI or II, possibly also in Africa. She thinks it was modernist and the author may have been German or Swiss (she read it in translation). She says: "The quick summary is that the guy meets this young woman who is about to be married and they fall in a lustful love and I can’t remember if she ends up marrying but she and the guy run off together and live in hotels. Their relationship starts to lose that beginning of love passion and she can’t stand it so she convinces the guy that they should kill themselves."

She found it: Belle du Seigneur