Your example does not use a "raw" string -- a raw string has an 'r' in 
front of the opening string quotes.  Try this instead:

>>> s = r"""a\
... b"""
>>> s
'a\\\nb'

Your second issue is correct -- the definition of \xXX in Python has 
changed over the years to what you observed.  I still don't think it 
matches the C standard though. :-)

Assigning to Georg for a doc fixup.  I'm assuming this is also for 
higher Python versions.