A backslash at the end of a line has a special meaning (line folding). But a backslash elsewhere has another meaning, eg.
Serial.print ("foo\n");
In the context of line-oriented text, especially source code for some programming languages, it is often used at the end of a line to indicate that the trailing newline character should be ignored, so that the following line is treated as if it were part of the current line. In this context it may be called a "continuation". The GNU make manual says, "We split each long line into two lines using backslash-newline; this is like using one long line, but is easier to read."
So backslash+newline has a special meaning. Not backslash+space+newline. Sorry.