Adding A Line Break in A Calculated Field

Below is an example in Tableau Desktop, but you can create a calculated field and do the same on Tableau Server with a published workbook by web editing it. 

Option 1

Surround it by quotation marks:

[State] + " 
"+ [Region]

Note:
To add an empty line between the line break, add another carriage return:

[State] + " 
 
"+ [Region]

To view the steps showed in the below video, please expand the above section.
Note: the video has no sound.

Option 2

Use the following encoded value:

CHAR(10)