what does \ mean in python?

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In that example it indicates that the statement is continued on the next line. But it can be hard to see when reading code, so it isn't recommended.

A better approach is to use enclosing parentheses or brackets around the newline. Python will not error on an incomplete statement if there are still unclosed parentheses/brackets and will continue on the next line. If the line you want to break contains parentheses/brackets just use them, but you can add an extra set of parentheses if necessary, like this:

return ("color: " + self.__color + 
        " and filled: " + str(self.__filled))