Attached patch does what is described in the title, hopefully. 
Continuations in other pgbench backslash-commands should be dealt with 
elsewhere...
Also attached is a small test script.
While looking at the code, I noticed that newline is \n. Maybe it should 
be (\r|\n|\r\n) to allow for MacOS & Windows. I have not changed that for 
now.
-- 
Fabien.