This
STR=\"Hello\\nWorld\"
echo $STR
produces as output
Hello\\nWorld
instead of
Hello
Wo
Echo is so nineties and so fraught with perils that its use should result in core dumps no less than 4GB. Seriously, echo's problems were the reason why the Unix Standardization process finally invented the printf utility, doing away with all the problems.
So to get a newline in a string:
FOO="hello
world"
BAR=$(printf "hello\nworld\n") # Alternative; note: final newline is deleted
printf '<%s>\n' "$FOO"
printf '<%s>\n' "$BAR"
There! No SYSV vs BSD echo madness, everything gets neatly printed and fully portable support for C escape sequences. Everybody please use printf now and never look back.