To add a REG_MULTI_SZ multi-line registry value, i can do
reg.exe ADD \"HKLM\\path\\to\\registry\\key\" /v RegistryValue /t REG_MULTI_SZ /d \"abc\\0def\\0\"
This probably isn't possible using reg add, because the data you're trying to set is improperly formed. REG_MULTI_SZ values are terminated by an empty string, so having an empty string as part of the value is not allowed.
If you really need to, and on the understanding that some software won't be able to read the key correctly, you could use reg import instead. For example, the following file creates a value with an empty string in the middle:
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\software\harrytest]
"test"=hex(7):76,00,61,00,6c,00,75,00,65,00,31,00,00,00,76,00,61,00,6c,00,75,\
00,65,00,32,00,00,00,00,00,76,00,61,00,6c,00,75,00,65,00,34,00,00,00,76,00,\
61,00,6c,00,75,00,65,00,35,00,00,00,00,00