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was not Sauron "warped" and coaxed into his evil state much like Gollum (correct me if I am wrong), and therefore worthy of some pity?
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maybe so.
I guess what it comes down to is if the subject is redeemable, or more importantly, if the one showing pity thinks that the subject is redeemable. It seems that pity spent on the unredeemable is wasted.
In the case of Melkor, Gollum, and Sauraman, the ones offering pity to them believed them to be redeemable (I think). So, did Luthien believe Sauron to be redeemable? I would say no. the guy is guarding her tortured boyfriend, and is trying to kill her dog. not to mention all the other evils he has done. had he given any indication of good in the past? perhaps before he fell, but Luthien wouldn't have been around to see it.
I couldn't say for sure if she acted out of pity or not, it seems more likely that she was acting out of honor and practicality.
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I don't understand why one must be inferior to another in order to be pitied by the other.
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I didn't say one must be inferior. In the three cases of pity that have been referenced the relationship of the pityers to the pityees is one of equality or superiority. I realize that that doesn't rule out the possibility of an inferior pitying a superior, but it is an interesting pattern.