Citing this 1996 year MathGroup post by Dave Wagner,
A similar function, Continuation[n], is called to format the character at the beginning of continued lines. So, for example, the definition
Format[Continuation[n_]] := StringForm["(``)",n]
would place a line number inside of parentheses on the second and subsequent lines of a multi-line output.
More specifically, this function is called during formatting of multi-line output for the purposes of displaying it within the terminal interface (i.e. when you work interactively with math.exe or WolframKernel.exe) and also when you request the OutputForm format within the notebook interface. Using the example provided by Dave (and working within the notebook interface),
Format[Continuation[n_]] := StringForm["(``)", n] 200! // OutputForm
78865786736479050355236321393218506229513597768\ (2) 7173263294742533244359449963403342920304284\ (3) 0119846239041772121389196388302576427902426\ (4) 3710506192662495282993111346285727076331723\ (5) 7396988943922445621451664240254033291864131\ (6) 2274282948532775242424075739032403212574055\ (7) 7956866022603190417032406235170085879617892\ (8) 2222789623703897374720000000000000000000000\ (9) 000000000000000000000000000
You may be also interested in the function StringBreak described by Dave in the same post:
There is a function called StringBreak that you can override to do this. (For some reason, this function was documented in version 2 but has been dropped from the documentation in version 3).
StringBreak[n] is called to format the n'th line-breaking character in a multiline output. So you can define
Format[StringBreak[_]] := ""
to eliminate all the line-breaking characters.
After evaluating
Format[StringBreak[_]] := ""
in a fresh kernel, we get
200! // OutputForm
7886578673647905035523632139321850622951359776871 73263294742533244359449963403342920304284011984 62390417721213891963883025764279024263710506192 66249528299311134628572707633172373969889439224 45621451664240254033291864131227428294853277524 24240757390324032125740557956866022603190417032 40623517008587961789222227896237038973747200000 00000000000000000000000000000000000000000000
The same way these functions work in the actual terminal mode:


These functions aren't called on Export, Write, WriteString etc. even when the OutputForm wrapper is used:
Format[StringBreak[_]] := "" Format[Continuation[n_]] := StringForm["(``)", n] str = OpenWrite[]; Write[str, OutputForm[200!]]; Close[str]; FilePrint[%]
78865786736479050355236321393218506229513597768717326329474253324435944996340\ 33429203042840119846239041772121389196388302576427902426371050619266249528299\ 31113462857270763317237396988943922445621451664240254033291864131227428294853\ 27752424240757390324032125740557956866022603190417032406235170085879617892222\ 2789623703897374720000000000000000000000000000000000000000000000000
\[Continuation]is also the name of the special character used to indicate that input should be interpreted as continuing in the next line, or to break output too long for the current window. I don't see an obvious connection with the function in your question though, since it wouldn't seem right to format that symbol as a space in all situations. $\endgroup$