Use Alt-Enter instead of a simple Enter (or, yes, vs CTRL-Enter since in the REPL that’s the same I think 
).
But Alt-Enter might not work if you’re on Windows apparently, see PSA: Inserting a new line in the REPL and Pick a different key binding for "Insert new line without executing it" at least on Win · Issue #18295 · JuliaLang/julia · GitHub.