Currently, it is not possible to provide multi-line 'run' commands as arguments to msys2do:

  - run: |
      msys2do <command_a>
      <command_b>
      <command_c>

Alternatives are to prepend each row with msys2do, or to put all the commands in a helper run.sh file and run msys2do ./run.sh.

It would be interesting to investigate alternatives, such as (untested):

    - shell: msys2do "{0}"
      run: |
        <command_a>
        <command_b>
        <command_c>