It has gone nowhere, its in the current directory. It has been renamed as .... (four dots).
As any filename having a . in front is treated a hidden file, so it has become hidden. So, if you do ls, you won't find it. Like always, you need the -a (or -A) option of ls to view the hidden files i.e. ls -a (or ls -A) to see it.
Let me break it down, you ran mv filename ..\.. , the first two dots would mean the parent directory if it were ../, but you have used backward slash ..\ which indicates shell to escape the next character but a dot . has no special meaning to shell. So, it will treat it as a literal . and the last . also added, so you got four dots .... as a filename.
To revert back to the previous (original) name, run mv .... filename.