There are some scenarios where we need to put line breaks in the string we write back from procedure or any dynamic SQL we use.
Here is how we can do this by adding CHAR(13) or CHAR(10) in between the string we write back. This will insert carriage return(code 13) or newline feed(code 10) in the text leading to the text format as you are trying to get.
DECLARE @ReturnMsg NVARCHAR(100)
SET @ReturnMsg = 'Missing state information.' + CHAR(13) + 'This is Address line 1.'
SELECT @ReturnMsg