This is completely handled by MultiMarkdown and MathJAX, I’m unfortunately not sure whether this is a feature or bug of one of them.
Please take a closer look at this, I was proving that the fact double slashes become single ones is not something done by MathJAX, since the same content results working on the MathJAX official demo, the change happened to the input to MathJAX.
It’s definitely a MultiMarkdown feature, you have to replace each \ with \\:
$$
\begin{align}
first \\\\
second \\\\
\end{align}
$$
Thanks for the tip, I didn’t realize MultiMarkdown is used in DT.