You should escape the backslash so that it's not treated as escaping character itself:
Sys.stdout.write("abc\\ndef")
Background
The backslash \ tells the parser that the next character is something special and must be treated differently. That's why \n will not print as \n but as a newline. But how do we write a backslash then? We need to escape it, too, resulting in \\ for a single backslash and \\n for the output \n.
Docs here, also see this SO question
Alternatively you can use "raw" strings, i.e. prefixing your strings with an r, to disable interpreting escape sequences is your strings:
Sys.stdout.write(r"abc\ndef")