The first Fifty Shades ends with them breaking up. But the idea is that it's clear to the reader it's the end of the book, not the end of the story. It's a cliffhanger.
Of course, if you end with them breaking up with nothing else, readers will be upset. But if you have the first chapter of the next book or a preview or something, they know it's not the whole story, it's just the first part.
Lord of the White Hell is also classified as fantasy romance (in Amazon fr) and is split into two books with good ratings. The first book ends with the couple breaking up.
I honestly don't think it's that uncommon, it's just rare in trade published books because the first book doesn't work as a standalone.