^Z sends TSTP (not STOP, though they have the same default behavior) to suspend; some programs catch this to do terminal state cleanup before re-raising it to accept the suspension. Catching it to do full backout doesn't make as much sense because the program anticipates being resumed.
^\ sends QUIT, which normally causes a core dump and is rarely caught. If you have core dumps disabled (via ulimit -c 0 or other system configuration) then you can often use it as a harder version of ^C; this is how I would tend to get out of ‘sl’ in places where I found it unwantedly installed.
$ cat
^Z[1] + Stopped cat
$ kill %1