You can use
set(L,'Interpreter','none')
where L is your legend handle or object. You could either return L when you create the legend,
L = legend(...);
or find it with
L = findobj(gcf,'Tag','legend');
Alternatively, if you want other legend entiries to still be interpreted, you can escape the underscores and backslashes in your string with strrep. i.e.,
mystr = strrep(mystr,'\','\\');
mystr = strrep(mystr,'_','\_');
