Steps to reproduce:
>>> from shlex import split
>>> line = "export F=$'\\''"
>>> split(line)
ValueError: No closing quotation

However, when printing the line

>>> print(line)
export F=$'\''

and pasting the output in bash, no further quotation marks are required.
The behavior of bash is described in its man page (line 497 for me, Chapter Quoting) and occurs also when bash is called with --posix. Therefore I guess that shlex does not reproduce the posix behavior here.