How can I have a newline in a string in sh?

This

STR="Hello\nWorld"
echo $STR

produces as output

Hello\nWorld

instead of

Hello
World

What should I do to have a newline in a string?

Note: This question is not about echo.
I’m aware of echo -e, but I’m looking for a solution that allows passing a string (which includes a newline) as an argument to other commands that do not have a similar option to interpret \n‘s as newlines.