Java: Interface with new keyword how is that possible?

It is called anonymous type/class which implements that interface. Take a look at tutorial - Local and Anonymous Inner Classes.

In the code, you're not creating an instance of the interface. Rather, the code defines an anonymous class that implements the interface, and instantiates that class.

The code is roughly equivalent to:

public final class Document {

    private final class AnonymousContentVisitor implements ContentVisitor {

        public void onStartDocument() {
            throw new IllegalStateException();
        }

        public void onEndDocument() {
            out.endDocument();
        }

        public void onEndTag() {
            out.endTag();
            inscopeNamespace.popContext();
            activeNamespaces = null;
        }
    }

    private final ContentVisitor visitor = new AnonymousContentVisitor();
}

It's valid. It's called Anonymous class. See here

We've already seen examples of the syntax for defining and instantiating an anonymous class. We can express that syntax more formally as:

new class-name ( [ argument-list ] ) { class-body }

or:

new interface-name () { class-body }