Vimscript does allow continuation of the previous line by starting the next with a backslash, but that isn't quite as convenient as a heredoc string such as you would find in Ruby, PHP, or Bash.
let g:myLongString='A string
that has a lot of lines
each beginning with a
backslash to continue the previous one
and whitespace before the backslash
is ignored'
Have a look at the relevant documentation on line-continuation.
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