I tried your SQL statement in mysql command line it works for me.

That's a different case - in the OP's case MySQL never even sees the backslash because it gets interpreted by Perl. Compare these two:

print "SELECT CONCAT('My','\'', 'QL')", "\n";
print "SELECT CONCAT('My','\\'', 'QL')", "\n";
__END__
SELECT CONCAT('My',''', 'QL')
SELECT CONCAT('My','\'', 'QL')
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