The pickling protocol 2 can manage new style objects
defining __slots__ and without __dict__. Anyway it
fails when one of the slots is "private".

>>> class C1(object):
	__slots__ = ["__priv"]
	def __init__(self):
		self.__priv = 42
	def get_priv(self):
		return self.__priv

>>> C1().get_priv()
42
>>> import pickle
>>> pickle.loads(pickle.dumps(C1(), 2)).get_priv()

Traceback (most recent call last):
  File "<pyshell#258>", line 1, in -toplevel-
    pickle.loads(pickle.dumps(C1(), 2)).get_priv()
  File "<pyshell#255>", line 6, in get_priv
    return self.__priv
AttributeError: _C1__priv

of course redefining __getstate__ and __setstate__
bypasses the problem.

the cPickle module shows the same issue.

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Confirmed with pickle and cPickle here.

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The bug is in the copy_reg module.
object.__reduce_ex__ calls function 
_slotnames in that module.
There is another bug when __slots__
is a single string. Examples below.

>>> import copy_reg
>>> class A(object):
...     __slots__ = ('__spam',)
...
>>> class B(object):
...     __slots__ = 'spam'
...
>>> copy_reg._slotnames(A) # should be ['_A__spam']
['__spam']
>>> copy_reg._slotnames(B) # should be ['spam']
['s', 'p', 'a', 'm']

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Fixed with commit of patch #1462313.