Woo hoo! I found a work around for this.
When I was running pdeploy, mine also crashed at the makensis call. As you mentioned, the slashes screw things up on windows, so they need to be changed. You are also correct that the system automatically deletes the required files.
HOWEVER, if you are quick with your fingers, you can copy over the folders that are needed, the .exe, and the .nsi file (All under the TEMP). The nsi file isn’t created until a little later on, so you have to be quick on your toes. Once the application fails, I just copied those files back into the TEMP folder where they were originally created. Then just open the nsi file and fix the slashes. Do a search and replace for all "/"s for ""s. Just be careful that there is a /r option towards the end of the file that needs to stay a forward slash. (as in RMDir /r “$INSTDIR”).
Once I did all that, I just ran the makensis.exe /v2
And there popped out my exe! YAY.
Hopefully that helps.