This won't work, alas. As you can see in the source of this tooltip component, the title that you give is not parsed but directly included as a string in the template.
Having said that, what you probably want here is to pass a TemplateRef, which allows you to include multiple lines, but also styling (which is preferable over using manual br-line breaks). E.g.
<!-- Element that should have a tooltip -->
<button nz-tooltip [nzTooltipTitle]="titleTemplate">Test</button>
<!-- Contents of tooltip -->
<ng-template #titleTemplate>
<p style="font-size: 25px">Your <br> tooltip</p>
</ng-template>