The backslash is the escape character for printable character. But the carriage return is not a printable character.
If you go into the Terminal, and you type \ and then a return, it still accepts the return as a real return and tries to execute the command.
Somehow, you can get the Terminal to print ^M for a carriage return, but it doesn't interpret it as an immediate return and does not execute the command.
So I just need the escape key-combo for non-printable characters.