Your original string, a = 'a\\nb' does not actually have two '\' characters, the first one is an escape for the latter. If you do, print a, you'll see that you actually have only one '\' character.
>>> a = 'a\\nb'
>>> print a
a\nb
If, however, what you mean is to interpret the '\n' as a newline character, without escaping the slash, then:
>>> b = a.replace('\\n', '\n')
>>> b
'a\nb'
>>> print b
a
b