I guess you transfer the data in binary from z/OS to UNIX, then use iconv
on the UNIX side. There are no line end characters on z/OS data set records, so there is nothing in the data that iconv can convert to line end character(s).
You need to transfer in ASCII. FTP will take care of the translation, and will insert line end character(s).
You can set influence the code pages used in translating, if the fefault set on the FTP server on z/OS is not what you need:
quote site sbdataconn=(*host-code-page*,*network-(unix)-code-page*)
Default line end characters are 0x0d0a. You can change this with
quote site sbsendeol=NL
CR
CRLF (default)
NONE
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