The v is technically "unbound" in most documentation, but when I am typing on the command line (in vi mode) and need to edit I hit <ESCAPE>v. I run in vi mode all the time (set -o vi), so this drops my whole current command buffer into a vi session where I can use the full power of the editor to add line breaks, correct spelling and punctuation, rethink my logic, etc. before submitting the buffer. When you save and exit vi, the saved buffer is fed to the parser a line at a time as if you'd done them sequentially on the command line.
Just be aware that when you exit, the buffer WILL execute whether you save or quit with no changes, so if you don't want it to do anything, save your work somewhere with :w somefile, then delete ALL the lines and SAVE the buffer as you exit. An "empty" buffer is the only no-op.
I can't find documentation on this at the moment, but I've used it for decades in HPUX & SunOS ksh as well as various versions of linux bash.
Otherwise, I recommend copy, cancel, paste into your favorite buffer/editor, fix it, copy, then paste back into the command line, lol
### Old Answer
As you said, backslash-escape a newline and the parser will effectively ignore it.
$: echo \
> this \
> is \
> all
this is all
Just make sure it is the LAST character of that line.
c.f. this page for more.
Any properly quoted newline can be included in your output, since they are now part of the data.
$: echo "
> this
> is
> all"
this
is
all
You can also pass them as data individually.
$: echo this $'\n' is $'\n' all
this
is
all