Markdown strips the backslash from `\{`, `\\` and `\,` inside math, GitHub.com included

Fact

GitHub.com's renderer and CommonMark under Jekyll both apply backslash escapes inside $…$ and $$…$$ as they would anywhere else. A backslash before ASCII punctuation is dropped, so TeX's punctuation commands reach MathJax without theirs: \{ becomes {, \\ becomes \, and \, becomes ,. Control words (a backslash followed by letters, such as \lbrace) are not escapes and pass through untouched.

Why it matters

Nothing errors, because what is left is still valid TeX that means something else. \{0,1,2\} renders as a bare 0,1,2, since {…} is only a group. \\ stops breaking rows, so cases and aligned collapse onto one line. \, prints a literal comma. The source looks right in an editor, so the fault shows only on the rendered page.

How to apply

Write the control-word form, which every renderer leaves alone:

• \{ \} → \lbrace \rbrace
• \\ between rows → \cr
• \, \; \! → \thinspace \medspace \negthinspace
• \| → \Vert

Doubling the backslash (\\{) survives one Markdown pass. A renderer that keeps math verbatim, however, reads it as a row break. GitHub's ` $…$ ` delimiters protect the content too, but only on GitHub.com. Elsewhere they make a code span, which MathJax skips.