While that is true, I think most queries would involve parameters of some sort, so those would need to be fiddled with at the very least after pasting to your code, plus you'd also want to format them so they don't look that out of place. And at that point you've likely got a single maybe-weirdly indented query that appears as a plain string, which is fine if you have just a couple but can get a little tricky if you have a larger application.
I'm not super religious about this - a colleague and I were discussing Hangfire.io's SQL Server code which has inline SQL[0] and we ended up agreeing that it's fine - but if I'm writing an application with a SQL backend I'm definitely leaning towards using something like EF in .NET
[0] = https://github.com/HangfireIO/Hangfire/blob/master/src/Hangf...