Describe the bug
MathJax is a JavaScript library allowing to add "custom tags" such as $...$ to HTML which will then be turned into e.g., MathML or whatever the browser supports.

Depending on the Markdown implementation math is either not supported at all -- or directly through the same syntax. Either way, it'd probably make most sense to simply keep $...$ expressions intact and not escape strings contained therein. While a simple filter for that would certainly work, MathJax allows supporting different escape characters than $...$ for inline- and $$...$$ for display-math, e.g., from the article https://math.andrej.com/2007/09/28/seemingly-impossible-functional-programs/:

<script>
window.MathJax = {
  tex: {
    tags: "ams",                                                                       inlineMath: [ ['$','$'], ['\\(', '\\)'] ],
    displayMath: [ ['$$','$$'] ],
    processEscapes: true,
  },
  options: {
    skipHtmlTags: ['script', 'noscript', 'style', 'textarea', 'pre', 'code']
  },
  loader: {
    load: ['[tex]/amscd']                                                            }
};
</script>

This would necessate parsing Js though ...

HTML Input

some formula: $\lambda$

Generated Markdown

some formula: $\\lambda$

Expected Markdown

some formula: $\lambda$

Additional context
This filter (or "unfilter") may be only activated, if MathJax is detected, and otherwise disabled. Further, as mentioned earlier, a more sophisticated parsing of the HTML may be used to detect the precise math-HTML tags used or make them configurable at the least.