Weep is about tears, while cry is about the sound.

Weep: vi 1 to express passion (as grief) by shedding tears

Cry: vi 2 to shed tears often noisily

Sob: vi 1b to cry or weep with convulsive catching of the breath

In short, weep is more about tears, while cry is more about the sound.

Merriam-Webster entries:

Weep: [vi 1] to express passion (as grief) by shedding tears

Cry: [vi 2] to shed tears often noisily

Sob: [vi 1b] to cry or weep with convulsive catching of the breath