Since patch 8.1.0369 you can comment continuation lines. However, you must follow the "\
syntax:
let test_data = [
"\ description in comment
\ complicated_data0
\
"\ description in comment
\ complicated_data1
...
\ ]
Prior to that, you would need to split the list up into pieces:
" description in comment
let test_data = [
\ 1,
\ ]
" description in comment",
let test_data += [
\ 2,
\ ]