How to use replaceall to remove all blank space with hypens in apex

why don't you use the replace method and pass in space (' ') & hyphen (-) as parameters. it will replace each space in the string with a hyphen as you expect.

string test = 'this is a space';
string newtest = test.replace(' ','-');
system.debug(newtest);

quick try in dev console anonymous window with debug log

\ is always an escape character.

• To use the regex \s, you need to use \\s.
• To use a literal \, use \\\\.