Taking place from midway in IV and proceed to end after IV's endings, with your game taking account into Niko's choice by means of tracking your save file.
You play as Gordon Sargent, who worked with Niko once and was last seen keeping an eye out to Gracie, and was even at a time considered to be a plausible candidate for a dlc protagonist by some.
The story would have dealt with the various relationships, both friendly and adversarial, between the many Italian mafia syndicate in Liberty City. The mafia in Liberty City has a pretty elaborate backstory which you can piece together by going through the various police reports found in the database, and yet they only appear on rare occasions within the actual story of the game. Much like Ballad, the Ancelotti would still have its fair share of involvement due to Gordon's participation in the kidnapping, but the different families can always get involved in one way or another. Gordon is gambler for example, a first for a GTA protagonist, which would also continue to pursue this entire grounded approach set forth by IV and Lost and Damned.
It will make use of the events of the two previous games more deeply than the Ballad did. As a continuation from the ending of Lost and Damned, Gerry McReary would have fled from the Alderney State Penitentiary, and it would have been up to Gordon to find a suitable way to help the McReary family. We would have also gained more insight on Gerry's reaction to the failed diamond exchange as well as the death of one of his brothers, or even sister.
Next there is also Phil Bell, half irish half Italian , the plausible additional link between the irish mob and the mafia, not to mention Packie already worked for the Peggorino. With his business set in Alderney, Phil Bell could have easily got wind on both Gracie's kidnapping and of the Lost's final state of business, further tying both stories of IV and Lost and Damned more effectively than what was produced in Ballad.
Depending on the ending player took in IV, the ending of Gordon Sargent's tale with Phil Bell and Gerry would have changed as well, further bringing full circle to the trilogy.
Ballad of Gay Tony's method of bringing full circle comes from revealing 'who' gets his hands on the diamonds, and by doing so, provoking an unnecessary and awkward retcon, just for a couple of extra giggles.
In contrast, the tale of Gordon Sargent could have brought full circle by showing the extent of harm caused by both the diamond affair And to Niko Bellic's various intervention, along with a flair of the Lost's intervention, here and there.
Sure Gordon wasn't present in the museum, but that doesn't necessarily means he couldn't have been part of this Trinity situation, with the kidnapping, the diamonds, and to the actions of Niko and the Lost, all tying it up together.
It would have been even more gritty and lonely than IV and Lost and Damned, whereas Niko and Johnny at least had close friends to share the journey with, all Gordon would have had were gambling debts and various mob bosses always on the edge to pull a backstab in fear of facing the implosion of the situations caused by the other protagonists. It may have perhaps ended on a happy and hopeful note, but the journey that leads to it would have been a rather unnerving and shady experience, where the concept of 'gaining money' whatever the cost, even if it involves keeping an eye out for a constantly crying tied up woman, it could have been an interesting concept that set up as a prototype to the 'pursuit of the almighty dollar' concept later laid out in full with GTA V.
And it definitively would have made a better lasting impression than the way Ballad tackled its subjects of increasing debts and 'everybody has a price', which amounts to continue to kill everyone in sight and everything would be ok, with no loss or degradation of conscience of any sorts.
Perhaps after the negative reaction to the constant pessimism in IV and Lost and Damned, Rockstar decided it was best not to approach this angle ever again.
And that to me, is a missed opportunity.
Not because of the themes or style of the Ballad per se, but rather it is presented as a welcoming alternative and yet failed to make a better impression than it set out to be, therefor making me feel that the unused possibilities would have been better.