Is it ok to put line-breaks in add_header in nginx configuration?

You can use variable nesting like this, which still in the end creates a one liner:

set $SCRIPT "script-src 'self'";
set $SCRIPT "${SCRIPT} https://www.a.com"; # comment each line if you like
set $SCRIPT "${SCRIPT} https://b.com";
set $STYLE "style-src 'self'";
set $STYLE "${STYLE} https://a.com";
set $IMG "img-src 'self' data:";
set $IMG "${IMG} https://a.com";
set $IMG "${IMG} https://www.b.com";
set $FONT "font-src 'self' data:";
set $FONT "${FONT} https://a.com";
set $DEFAULT "default-src 'self'";
set $CONNECT "connect-src 'self'";
set $CONNECT "${CONNECT} https://www.a.com";
set $CONNECT "${CONNECT} https://www.b.com";
set $FRAME "frame-src 'self'";
set $FRAME "${FRAME} https://a.com";
set $FRAME "${FRAME} https://b.com";
add_header Content-Security-Policy "${SCRIPT}; ${STYLE}; ${IMG}; ${FONT}; ${DEFAULT}; ${CONNECT}; ${FRAME}";