This will have some overhead, but technically it does answer your question:
echo abc `#Put your comment here` \
def `#Another chance for a comment` \
xyz, etc.
And for pipelines specifically, there is a clean solution with no overhead:
echo abc | # Normal comment OK here
tr a-z A-Z | # Another normal comment OK here
sort | # The pipelines are automatically continued
uniq # Final comment
See Stack Overflow question How to Put Line Comment for a Multi-line Command.