It's too bad that PowerBuilder REPLACE doesn't work like SQL Anywhere's version (which does a search-and-replace of all occurrences of a substring). If it existed, you could use it to replace all occurrences of \ with \\ before the value was passed to SQL Anywhere inside the 'quoted string literal'... then, SQL Anywhere would replace every \\ pair with a single \ and you'd be good to go.
If memory serves, there is a DataWindow event where you can capture (and edit?) the actual SQL statement before it is sent to the DBMS.
...perhaps a combination of the SQLPreview event and SetSQLPreview method?
You are right about Transact SQL not having \n. Google searches reveal enormous numbers of Q&A discussions about the lack of \n and how hard it is to insert line feeds into SQL Server string literals ( pretty funny, given your experience : )