Make backslash \ in terminal (Danish keyboard)

I am using a Danish keyboard language and Danish keyboard layout. When typing in my browser or other applications on my computer, I can make a backslash. In my case I use the combination shift + option + /. However, when I enter the terminal (either through VSC or directly from my computer), I can't make backslash through the key combination. Nothing happens. I am using bash. I have also tried the Z shell instead, but I can't make backslash there as well. For similar characters I can use their key combinations without any problems in the bash terminal. E.g. shift + option + ( makes an opening curly bracket '{'. Thus, the key combination for backslash works fine in browser and applications, but not in the terminal. Is there a way to add a new key combination for the terminal?