I can't do this either. Here's my latest attempt:
>>> cnxn = pyodbc.connect('DRIVER={FreeTDS};SERVER=%s;DATABASE=%s;UID=%s;PWD=%s' % ('srvr.domain','mydb','usr','pass'))
>>> cursor = cnxn.cursor()
>>> cursor.execute("""BACKUP DATABASE ? TO DISK = ? WITH FORMAT""",['mydb','C:\\folder\\backup'])