Backslash commands in strings?

I believe this is the documentation you are looking for:

• String Representation of Boxes

Notably:

And:

These are Operator Input Forms

Characters that are not letters, letter‐like forms, or structural elements are treated by the Wolfram Language as operators. The Wolfram Language has built‐in rules for interpreting all operators. The functions to which these operators correspond may or may not, however, have built‐in evaluation or other rules. ...

Operators that construct two‐dimensional boxes—all of which have names beginning with backslash—can only be used inside \(…\). ... "Input of Boxes" gives interpretations when no \! is included.

\*expr (boxes constructed from expr)
\!boxes (interpreted version of boxes)