Fixing flake8 problems new to flake8 3.6.0
- [ ] closes #xxxx
- [ ] tests added / passed
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

Seems like flake8 3.6.0 has just been released to conda. And when the CI uses the new version, it fails on the linting because a new validation `W605` which checks invalid escape characters. We have few in scripts and the conf of the documentation. Fixing those, so CI passes again.
