Regular Expressions 101

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"
(?s)(\"\"\"|\'\'\'|\"|\')(?:\s*(SELECT)\s*\*\s*(SELECT|FROM))?(?:(?<!\\)\\\1|.)*?\1
"
gm
(?s)
match the remainder of the pattern with the following effective flags: gms
s modifier: single line. Dot matches newline characters
1st Capturing Group
(\"\"\"|\'\'\'|\"|\')
1st Alternative
\"\"\"
\" matches the character " literally (case sensitive)
\" matches the character " literally (case sensitive)
\" matches the character " literally (case sensitive)
2nd Alternative
\'\'\'
\' matches the character ' literally (case sensitive)
\' matches the character ' literally (case sensitive)
\' matches the character ' literally (case sensitive)
3rd Alternative
\"
\" matches the character " literally (case sensitive)
4th Alternative
\'
\' matches the character ' literally (case sensitive)
Non-capturing group
(?:\s*(SELECT)\s*\*\s*(SELECT|FROM))?
? matches the previous token between zero and one times, as many times as possible, giving back as needed (greedy)
\s
matches any whitespace character (equivalent to [\r\n\t\f\v  ])
* matches the previous token between zero and unlimited times, as many times as possible, giving back as needed (greedy)
2nd Capturing Group
(SELECT)
SELECT matches the characters SELECT literally (case sensitive)
\s
matches any whitespace character (equivalent to [\r\n\t\f\v  ])
* matches the previous token between zero and unlimited times, as many times as possible, giving back as needed (greedy)
\* matches the character * literally (case sensitive)
\s
matches any whitespace character (equivalent to [\r\n\t\f\v  ])
3rd Capturing Group
(SELECT|FROM)
Non-capturing group
(?:(?<!\\)\\\1|.)*?
*? matches the previous token between zero and unlimited times, as few times as possible, expanding as needed (lazy)
1st Alternative
(?<!\\)\\\1
Negative Lookbehind
(?<!\\)
Assert that the Regex below does not match
\\ matches the character \ literally (case sensitive)
\\ matches the character \ literally (case sensitive)
\1 matches the same text as most recently matched by the 1st capturing group
2nd Alternative
.
. matches any character
\1 matches the same text as most recently matched by the 1st capturing group
Global pattern flags
g modifier: global. All matches (don't return after first match)
m modifier: multi line. Causes ^ and $ to match the begin/end of each line (not only begin/end of string)
Your regular expression does not match the subject string.

Regular Expression
No Match

r"
"
gm

Test String