You want the image to stay after the key is released, so you can't simply rely on the "key pressed" state or event, you must set a permanent flag.
bool draw = false;
while(Game.IsOpened())
{
sf::Event Event;
while(Game.GetEvent(Event))
{
if(Event.Type == sf::Event::KeyPressed && Event.Key.Code == sf::Key::M)
draw = true;
}
}
Game.Clear();
if (draw)
Game.Draw(Sprite);
Game.Display();