There shouldn’t be backslashes on the ends of each of those lines. The backslash escapes the newline, meaning the shell treats the next line as a continuation of the same line.
In this case, that will result in trying to run this as a single command which is where the error is coming from:
sudo gpg --dearmor -o /usr/share/keyrings/docker-archive-keyring.gpg echo "deb [arch=amd64 signed-by=/usr/share/keyrings/docker-archive-keyring.gpg] https://download.docker.com/linux/ubuntu focal stable"
Just removing those backslashes on the ends of the lines will solve that:
curl -fsSL https://download.docker.com/linux/ubuntu/gpg | sudo gpg --dearmor -o /usr/share/keyrings/docker-archive-keyring.gpg
echo "deb [arch=amd64 signed-by=/usr/share/keyrings/docker-archive-keyring.gpg] https://download.docker.com/linux/ubuntu focal stable" | sudo tee /etc/apt/sources.list.d/docker.list > /dev/null
sudo apt update
sudo apt-get install docker-ce docker-ce-cli docker-compose containerd.io