The backslash character in AutoLISP is an escape character, used to give the characters which follow it an alternatively meaning - for example, \n represents a newline, \t represents a tab character, \" represents a literal double quote (as opposed to a string delimiter). As such, if you want to represent a literal backslash in a string, this must be preceded by another backslash to mark it as a literal as opposed to the start of another escape character sequence (i.e. the first backslash is an escape character which gives the second backslash an alternative meaning, marking it as a literal character).
The reason that you only see one backslash everywhere else in the GUI is because the backslash is only an escape character in AutoLISP (and other programming languages).