But consider separating out the escape syntax for the various regexp
parts - e.g., the parts that match more than a single escape char (for
octal etc.). Using separate regexps (which can still be combined) for
the various parts lets you choose whether to highlight each char group
(e.g., highlight only hex escapes).
FWIW, library highlight-chars.el lets you selectively highlight sets of
chars. This works together with font-lock: you can choose whether
other font-lock highlighting overrides, is overridden by, or is merged
with this highlighting (applied after or before it).
You can specify chars to highlight in various ways: (1) individually
(any in a given string), (2) using ranges, (3) using character classes
(e.g. [:digit:]), and (4) using character sets (e.g. `iso-8859-1' or
`lao'). You can also specify sets of chars to be excluded from such
highlighting - IOW, specify a set by subtraction as well as by
addition.