I encountered the above error. I have done some research and found the following:

"Typical error on Windows because the default user directory is C:\user<your_user>, so when you want to use this path as an string parameter into a Python function, you get a Unicode error, just because the \u is a Unicode escape. Any character not numeric after this produces an error.To solve it, just double the backslashes: C:\\user\<\your_user>..."

I checked the codes it is because of the lambda function in the generated model and the system tries to do a func_dump of modelgen.py in my c:\users\anaconda3\lib\site-packages\mcfly directory.

Any suggestion how to get around it?

Here is the detail trace:
File "C:\Users\pactera\Anaconda3\lib\site-packages\mcfly\storage.py", line 33, in savemodel
json_string = model.to_json() # save architecture to json string
File "C:\Users\pactera\Anaconda3\lib\site-packages\keras\engine\topology.py", line 2541, in to_json
model_config = self._updated_config()
File "C:\Users\pactera\Anaconda3\lib\site-packages\keras\engine\topology.py", line 2508, in _updated_config
config = self.get_config()
File "C:\Users\pactera\Anaconda3\lib\site-packages\keras\models.py", line 1179, in get_config
'config': layer.get_config()})
File "C:\Users\pactera\Anaconda3\lib\site-packages\keras\layers\core.py", line 668, in get_config
function = func_dump(self.function)
File "C:\Users\pactera\Anaconda3\lib\site-packages\keras\utils\generic_utils.py", line 177, in func_dump
code = marshal.dumps(func.code).decode('raw_unicode_escape')
UnicodeDecodeError: 'rawunicodeescape' codec can't decode bytes in position 82-83: truncated \UXXXXXXXX escape