To specify a NL character in SQL command interpreters like dbaccess or sqlplus, you just go to the new line with RETURN, while with MySQL you can use \n as on UNIX.... So it's vendor specific...
Actually I checked if the databases support NL in SQL string with following sample program:
MAIN
DEFINE cond STRING, cnt INTEGER
--DATABASE test1 EXECUTE IMMEDIATE "EXECUTE PROCEDURE IFX_ALLOW_NEWLINE('t')"
--CONNECT TO "orc2fox+driver='dbmoraA2x'" USER "orauser" USING "fourjs"
--CONNECT TO "test1+driver='dbmpgs83x'" USER "pgsuser" USING "fourjs"
--CONNECT TO "test1+driver='dbmmys51x'" USER "mysuser" USING "fourjs"
--CONNECT TO "test1+driver='dbmdb28x'" USER "db2user" USING "fourjs"
--CONNECT TO "ads_361+driver='dbmads3x'" USER "adsuser" USING "fourjs"
CONNECT TO "freetds_msvtest1_cobra+driver='dbmftm90'" USER "msvuser" USING "fourjs"
WHENEVER ERROR CONTINUE
DROP TABLE tt1
WHENEVER ERROR STOP
CREATE TABLE tt1 ( k INT, col1 VARCHAR(100) )
LET cond = "INSERT INTO tt1 VALUES( 1, 'abc", ASCII(10), "def' )"
EXECUTE IMMEDIATE cond
LET cond = "SELECT COUNT(*) FROM tt1 WHERE col1 = 'abc", ASCII(10), "def'"
PREPARE s1 FROM cond
EXECUTE s1 INTO cnt
DISPLAY cnt
END MAIN