I believe what's happening is that \ _ (sans space) is registering as an "escaped" underscore - all that means is for code to consider it just a plain underscore character - so the backslash itself is being absorbed into that, basically. the way around it is to escape the backslash itself, which means consider this a normal backslash character and not a backslash that's backslashing another character. you do this by backslashing your backslash.
@Lotsofgoats I'm surprised that works, I would expect escaping the backslash to result in what happened to @rockblossom above - because with the escape character escaped, the underscores should then be interpreted as emphasis. Logically it should take three backslashes.