\r is the character #\return in Common Lisp.
\n is the character #\linefeed in Common Lisp.
The following ends the string "Hello world." with return and linefeed.
(format t "Hello world.~C~C" #\return #\linefeed)
#\newline is whatever the platform uses as a line division. On Unix machines this is often the same as #\linefeed. On other platforms (Windows, Lisp Machines, ...) this could be different.
The FORMAT control ~% prints a newline (!).
So
(format t "Hello world.~%")
will print the newline that the operating system uses. CR or CRLF or LF. Depending on the platform this will be one or two characters.
So, on a Windows machine your
(format t "Hello world.~C~%" #\return)
might actually print: #\return #\return #\linefeed. Which is THREE characters and not two. Windows uses CRLF for newlines. Unix uses LF. Old Mac OS (prior to Mac OS X) and Lisp Machines used CR for newlines.
If you really want to print CRLF, you have to do it explicitly. For example with:
(defun crlf (&optional (stream *standard-output*))
(write-char #\return stream)
(write-char #\linefeed stream)
(values))
FORMAT does not have special syntax for output of linefeed or carriage return characters.