We are using WC Pretty Email and want to add some line breaks in processing order email. We have tried with tags br and p without success.

Good question !

And you can easily achieve that using a filter.

Few lines of code that you need to add in your functions.php file. For instance, if you want line breaks to be turned into br tag you can use this function : 

add_filter('woocommerce_email_mbc_cpo_intro_filter',function($text){
return nl2br($text);
});
Note that it requires PHP 5.3+ to use it that way.
For older PHP version, you will have to create a function first then call it into the filter like this :
add_filter('woocommerce_email_mbc_cpo_intro_filter','i_want_line_break_in_customer_processing_email');
function i_want_line_break_in_customer_processing_email($text){
return nl2br($text);
}