You can split your regex pattern by quoting each segment. No backslashes needed.
test = re.compile(
('(?P<full_path>.+):\d+:\s+warning:\s+Member'
'\s+(?P<member_name>.+)\s+\((?P<member_type>%s)\) '
'of (class|group|namespace)\s+(?P<class_name>.+)'
'\s+is not documented'
) % (self.__MEMBER_TYPES),
re.IGNORECASE)
You can also use the raw string flag 'r'
and you’ll have to put it before each segment.
See the docs: String literal concatenation