I hope this will help anyone getting to this stage that still has no joy! I have to use Function and the backslash key above the return key. (This does not work in Parallels though)
Are you using a MacBook Pro with a Belgian or French AZERTY keyboard? Do you really not get \ by doing option/alt + shift + : ? What do you get instead when you do that?
ALT + SHIFT + 7 (where slash is located) = \ (backslash)
I explained in one post "how to see various keys mapping in your MacOS" please follow the post (this will work for any keyboard format ).
And my hit and trial method (which was oldest post and someone posted it here but now shifted to devgeek.co )
Hope it may help!