After a little experimentation I discovered that it is possible to do it without issuing two separate echo commands as described in How can you echo a newline in batch files?. However to make it work you will need a text editor that does not translate CR to CR+LF.
Type:
@echo First Line
then with NumLock on, hold down the ALT key and type 10 on the numeric keypad before releasing ALT (you must use the numeric keypad, not the top-row number keys). This will insert a CR character. Then type the second line. Depending on your editor and how it handles CR compared with CR+LF you may get:
@echo First Line◙Second Line
or
@echo First Line
Second Line
This works from the command line and will work in a batch file so long as the text editor does not translate CR to CR+LF (which Windows/DOS editors do unless you configure them not to). If the CR is converted to CR+LF, or if you use just LF, the second line is interpreted as a new command.
However, I cannot see why this would be preferable over simply:
@echo First Line
@echo Second Line