JSON is invalid

JSON data is broken over multiple lines. However, this is not easily possible in JSON. Therefore, invalid JSON is produced.

$cat bug.rb 
require 'psych'

puts Psych.to_json [[4, "Afghanistan"], [8, "Albania"], [10, "Antarctica"], [12, "Algeria"], [16, "American
Samoa"], [20, "Andorra"], [24, "Angola"], [28, "Antigua and Barbuda"], [31,
"Azerbaijan"], [32, "Argentina"], [36, "Australia"], [40, "Austria"], [44, "Bahamas"],
[48, "Bahrain"], [50, "Bangladesh"], [51, "Armenia"], [52, "Barbados"], [56, "Belgium"],
[60, "Bermuda"], [64, "Bhutan"], [68, "Bolivia (Plurinational State of)"], [70,
"Bosnia and Herzegovina"], [72, "Botswana"], [74, "Bouvet Island"], [76, "Brazil"],
[84, "Belize"], [86, "British Indian Ocean Territory"], [90, "Solomon Islands"],
[92, "Virgin Islands (British)"], [96, "Brunei Darussalam"], [100, "Bulgaria"],
[104, "Myanmar"], [108, "Burundi"], [112, "Belarus"], [116, "Cambodia"], [120, "Cameroon"],
[124, "Canada"], [132, "Cabo Verde"], [136, "Cayman Islands"], [140, "Central African
Republic"], [144, "Sri Lanka"], [148, "Chad"], [152, "Chile"], [156, "China"],
[158, "Taiwan, Province of China"], [162, "Christmas Island"], [166, "Cocos (Keeling)
Islands"], [170, "Colombia"], [174, "Comoros"], [175, "Mayotte"], [178, "Congo"],
[180, "Congo, Democratic Republic of the"], [184, "Cook Islands"], [188, "Costa
Rica"], [191, "Croatia"], [192, "Cuba"], [196, "Cyprus"], [203, "Czechia"],
[204, "Benin"], [208, "Denmark"], [212, "Dominica"], [214, "Dominican Republic"],
[218, "Ecuador"], [222, "El Salvador"], [226, "Equatorial Guinea"], [231, "Ethiopia"],
[232, "Eritrea"], [233, "Estonia"], [234, "Faroe Islands"], [238, "Falkland Islands
(Malvinas)"], [239, "South Georgia and the South Sandwich Islands"], [242, "Fiji"],
[246, "Finland"], [248, "Åland Islands"], [250, "France"], [254, "French Guiana"],
[258, "French Polynesia"], [260, "French Southern Territories"], [262, "Djibouti"],
[266, "Gabon"], [268, "Georgia"], [270, "Gambia"], [275, "Palestine, State of"],
[276, "Germany"], [288, "Ghana"], [292, "Gibraltar"], [296, "Kiribati"], [300, "Greece"],
[304, "Greenland"], [308, "Grenada"], [312, "Guadeloupe"], [316, "Guam"], [320,
"Guatemala"], [324, "Guinea"], [328, "Guyana"], [332, "Haiti"], [334, "Heard Island
and McDonald Islands"], [336, "Holy See"], [340, "Honduras"], [344, "Hong Kong"],
[348, "Hungary"], [352, "Iceland"], [356, "India"], [360, "Indonesia"], [364, "Iran
(Islamic Republic of)"], [368, "Iraq"], [372, "Ireland"], [376, "Israel"], [
380, "Italy"], [384, "Côte d'Ivoire"], [388, "Jamaica"], [392, "Japan"], [398,
"Kazakhstan"], [400, "Jordan"], [404, "Kenya"], [408, "Korea (Democratic People's
Republic of)"], [410, "Korea, Republic of"], [414, "Kuwait"], [417, "Kyrgyzstan"],
[418, "Lao People's Democratic Republic"], [422, "Lebanon"], [426, "Lesotho"], [
428, "Latvia"], [430, "Liberia"], [434, "Libya"], [438, "Liechtenstein"], [440,
"Lithuania"], [442, "Luxembourg"], [446, "Macao"], [450, "Madagascar"], [454,
"Malawi"], [458, "Malaysia"], [462, "Maldives"], [466, "Mali"], [470, "Malta"],
[474, "Martinique"], [478, "Mauritania"], [480, "Mauritius"], [484, "Mexico"], [
492, "Monaco"], [496, "Mongolia"], [498, "Moldova, Republic of"], [499, "Montenegro"],
[500, "Montserrat"], [504, "Morocco"], [508, "Mozambique"], [512, "Oman"], [516,
"Namibia"], [520, "Nauru"], [524, "Nepal"], [528, "Netherlands"], [531, "Curaçao"],
[533, "Aruba"], [534, "Sint Maarten (Dutch part)"], [535, "Bonaire, Sint Eustatius
and Saba"], [540, "New Caledonia"], [548, "Vanuatu"], [554, "New Zealand"],
[558, "Nicaragua"], [562, "Niger"], [566, "Nigeria"], [570, "Niue"], [574, "Norfolk
Island"], [578, "Norway"], [580, "Northern Mariana Islands"], [581, "United
States Minor Outlying Islands"], [583, "Micronesia (Federated States of)"],
[584, "Marshall Islands"], [585, "Palau"], [586, "Pakistan"], [591, "Panama"], [
598, "Papua New Guinea"], [600, "Paraguay"], [604, "Peru"], [608, "Philippines"],
[612, "Pitcairn"], [616, "Poland"], [620, "Portugal"], [624, "Guinea-Bissau"], [
626, "Timor-Leste"], [630, "Puerto Rico"], [634, "Qatar"], [638, "Réunion"], [
642, "Romania"], [643, "Russian Federation"], [646, "Rwanda"], [652, "Saint Barthélemy"],
[654, "Saint Helena, Ascension and Tristan da Cunha"], [659, "Saint Kitts and Nevis"],
[660, "Anguilla"], [662, "Saint Lucia"], [663, "Saint Martin (French part)"], [
666, "Saint Pierre and Miquelon"], [670, "Saint Vincent and the Grenadines"],
[674, "San Marino"], [678, "Sao Tome and Principe"], [682, "Saudi Arabia"], [686,
"Senegal"], [688, "Serbia"], [690, "Seychelles"], [694, "Sierra Leone"], [702,
"Singapore"], [703, "Slovakia"], [704, "Viet Nam"], [705, "Slovenia"], [706, "Somalia"],
[710, "South Africa"], [716, "Zimbabwe"], [724, "Spain"], [728, "South Sudan"],
[729, "Sudan"], [732, "Western Sahara"], [740, "Suriname"], [744, "Svalbard and
Jan Mayen"], [748, "Eswatini"], [752, "Sweden"], [756, "Switzerland"], [760,
"Syrian Arab Republic"], [762, "Tajikistan"], [764, "Thailand"], [768, "Togo"],
[772, "Tokelau"], [776, "Tonga"], [780, "Trinidad and Tobago"], [784, "United Arab
Emirates"], [788, "Tunisia"], [792, "Turkey"], [795, "Turkmenistan"], [796,
"Turks and Caicos Islands"], [798, "Tuvalu"], [800, "Uganda"], [804, "Ukraine"],
[807, "North Macedonia"], [818, "Egypt"], [826, "United Kingdom of Great Britain
and Northern Ireland"], [831, "Guernsey"], [832, "Jersey"], [833, "Isle of Man"],
[834, "Tanzania, United Republic of"], [840, "United States of America"], [850,
"Virgin Islands (U.S.)"], [854, "Burkina Faso"], [858, "Uruguay"], [860, "Uzbekistan"],
[862, "Venezuela (Bolivarian Republic of)"], [876, "Wallis and Futuna"], [882, "Samoa"],
[887, "Yemen"], [894, "Zambia"]]

$ruby bug.rb | jq
parse error: Invalid string: control characters from U+0000 through U+001F must be escaped at line 7, column 29

Start by running the issue's bug.rb example and piping its Psych.to_json output to jq to reproduce the invalid control characters. Trace the JSON generation path used by Psych.to_json; done means the same multiline string data produces JSON that jq accepts without a parse error.