You can put parentheses around the whole expression:
return ("a Parallelogram with side lengths {} and {}, and interior "
"angle {}".format(self.base, self.side, self.theta))
or you can still use \to continue the expression, just use separate string literals:
return "a Parallelogram with side lengths {} and {}, and interior " \
"angle {}".format(self.base, self.side, self.theta)
Note that there is no need to put +between the lines; Python automatically concatenates consecutive string literals into one:
>>> "one string " "and another"
'one string and another'
.
str() ; .format() .