How to go to new line in iTerm2 without executing command?
This has nothing to do with iTerm, but rather the shell that you're using and whether or not the option interactive_comments is enabled or not.  To treat the line as a comment, you have to start the line with a comment character.
Bash Reference Manual (Chapter 3.1.3) - Comments

In a non-interactive shell, or an interactive shell in which the interactive_comments option to the shopt builtin is enabled (see The Shopt Builtin), a word beginning with ‘#’ causes that word and all remaining characters on that line to be ignored. An interactive shell without the interactive_comments option enabled does not allow comments. The interactive_comments option is on by default in interactive shells.

$ shopt -s interactive_comments          &lt;-------- Enable interactive_comments
$ shopt -u interactive_comments          &lt;-------- Disable

To make this permanent, put the command in your ~/bash_profile or ~/bashrc.  It's enabled by default in Bash
Zsh Reference Manual (Chapter 6.7) - Comments

In non-interactive shells, or in interactive shells with the INTERACTIVE_COMMENTS option set, a word beginning with the third character of the histchars parameter (‘#’ by default) causes that word and all the following characters up to a newline to be ignored

% setopt interactive_comments         &lt;------ Enable interactive_comments
% unsetopt interactive_comments       &lt;------ Disable

To make the setting permanent, place the appropriate command in  your ~/.zshrc.  It's disabled by default in Zsh.