The Python 2.7 Language reference has this to say on explicit line joining:
A line ending in a backslash cannot carry a comment. A backslash does not continue a comment. A backslash does not continue a token except for string literals (i.e., tokens other than string literals cannot be split across physical lines using a backslash). A backslash is illegal elsewhere on a line outside a string literal.
Indeed for both Python 2 and Python 3, the code you posted is not considered valid and generates errors:
File "/home/tmartin/test.py", line 2
x = "So I'm ready to attack, gonna lead the pack," + # red comment here
^
SyntaxError: invalid syntax
Doing this in the Python Online Shell provides a more specific error message:
Python 3.6.0 (default, Jan 13 2017, 00:00:00)
[GCC 4.8.4] on linux
Type "help", "copyright", "credits" or "license" for more information.
>>> "So I'm ready to attack, gonna lead the pack," + \ # red comment here
File "<stdin>", line 1
"So I'm ready to attack, gonna lead the pack," + \ # red comment here
^
SyntaxError: unexpected character after line continuation character
As such, Sublime seems to be correct in telling you that the code is invalid in this case and I can't see any way to have your code snippet work unaltered without a modified version of the Python interpreter, although I am by no means a Python expert.
That said, assuming that this does indeed work for you, the only way to stop Sublime from showing you those lines as being errors would be for you to manually edit the Python syntax that ships with Sublime to get it to not treat that situation as invalid.
