A possible alternative would be to use Unicode characters instead. For that, you would do something like this:
Concatenate("a",Character(10),"b")
In Unicode, the tenth character is newline, so that should output correctly 
If you need it to be a “\n” style newline, I’m not sure. FWIW, it doesn’t appear to be possible to use Regex style escape characters, even within a Regex. For example, I had thought you might be able to do this using the following formula:
RegexReplace(Concatenate("a","\n","b"),"(\\n)","\n")
But it doesn’t work. Perhaps someone else knows why/if, but hopefully the other solution is valid 