I fixed the problem by updating the regular expression in the sanitize_user function in wp-includes/functions-formatting.php to allow backslashes.
Updated
$username = preg_replace('|[^a-z0-9 _.\-@]|i', '', $username);
To
$username = preg_replace('|[^a-z0-9 _.\-@\\\\]|i', '', $username);
For those not wanting to modify the WordPress code, I found a similar need wrapped as a WordPress plugin, namely wp-allowdashes. This provided me with a template to create wp-allowbackslashes which can be accessed from here
