Answer: The goal is to establish that all odd integers map to one of the sets $A_k$ or $M_k$, or to find an equivalent problem statements. Note that while $A_k \subset {M_k}\,$, showing where the patterns of mappings shift from $A_k$ to $M_k$ is useful to find an equivalent problem statement.
(PART I)
The initial sixteen mappings between the odd integers and the elements of $A_k$ and $M_k$ are given below. The arrangement into 4 maps per row is intentional as this will establish a pattern that will be useful later.
$$ 1 \in A_1; 3 \in A_0; 5 \in A_3; 7 \in A_0 $$
$$ 9 \in A_1; 11 \in A_0; 13 \in A_2; 15 \in M_0; $$
$$ 17 \in A_1; 19 \in M_0; 21 \in A_5; 23 \in M_0; $$
$$ 25 \in M_1; 27 \in M_0; 29 \in A_2; 31 \in M_0; $$
and so on for all odd integers.
Note that first, second and fourth elements of each above row map to elements of sets with the same value of $\,k\,$ repeatedly (and continue infinitely), while the mappings from the third elements vary.
(PART II)
It remains to show that the third of every four odd natural numbers is in $M_k$ for some K>1; These elements form the set:
$$ T = \{p\in N, p \equiv 5 \pmod 8\} $$
Observe that the pattern of how T maps to $A_k$ or $M_k$ is similar to the initial pattern for the odd integers:
$$ 5\in A_3; 13\in A_2; 21\in A_5; 29 \in A_4 $$
$$ 37 \in A_3; 45 \in A_2; 53 \in A_4; 61 \in A_2 $$
$$ 69 \in A_3; 77 \in A_2; 85 \in A_7; 93 \in M_2 $$
$$ 101 \in M_3; 109 \in M_2; 117 \in A_4; 125 \in M_2 $$
The similarity to part I is in the pattern of the subscripts. The pattern is as follows, take k=0 for part I, and k=2 for the set T;
$$ A_{k+1}; A_k; A_{k+3}; A_k $$
$$ A_{k+1}; A_k; A_{k+2}; M_k $$
$$ A_{k+1}; M_k; A_{k+5}; M_k $$
$$ M_{k+1}; M_k; A_{k+4}; M_k $$
While the pattern of the third element would eventually reveal itself by continuing to map odd integers as in Part I, the above observation provides a shortcut. The ninth element of Part I and T each map to the third element of their respective sets $A_{k+1}$. At the same time, the value of the eleventh element of Part I and T both map to their respective sets $A_{k+3}$, signaling it is time to introduce a new set with the next level of pattern based on k=4.
(PART III)
This section will formally define a sequence of sets which describe the above observations:
DEFINITION:
$$ S_k = \{p \in \mathcal{N}, p \equiv {f \left(k\right)} \pmod {2^{k+1}}, \forall k \in \mathcal{N}, k\equiv 0\pmod 2 \}$$
$$ \text { where } \{f \left(k\right) = \sum_{i=0}^k \,4^i \} $$
Recall that the question is whether the sequence of sets $M_k$ cover (aka partition) the odd integers. The sequence of sets $S_k$ introduced in this answer are equivalent to generating the sets $M_k$ by the recursion formula in the question. To see this relationship, subsets of the sets $\,S_k\,$ may be constructed. To more formally define them:
$$ S_{k,0} = \{p \in \mathcal{N}, p \equiv {f \left(k\right)} \pmod {2^{k+3}}\}\, , \forall k \in \mathcal{N}, k\equiv 0\pmod 2 $$
$$ S_{k,1} = \{p \in \mathcal{N}, p \equiv {\left(f \left(k\right) + 2^{k+1}\right)} \pmod {2^{k+3}}\}\, , \forall k \in \mathcal{N}, k\equiv 0\pmod 2 $$
$$ S_{k,2} = \{p \in \mathcal{N}, p \equiv {\left(f \left(k\right) + 2^{k+2}\right)} \pmod {2^{k+3}}\}\, , \forall k \in \mathcal{N}, k\equiv 0\pmod 2 $$
$$ S_{k,3} = \{p \in \mathcal{N}, p \equiv {\left(f \left(k\right) + \left(3\times 2^{k+1}\right)\right)} \pmod {2^{k+3}}\}\, , \forall k \in \mathcal{N}, k\equiv 0\pmod 2 $$
$$ \text { where } \{f \left(k\right) = \sum_{i=0}^k \,4^i \} $$
Next, observe that:
$$ S_{k,0}\, \equiv M_{k+1} \forall k \in \mathcal{N}, k \equiv 1\pmod 2 .$$
$$ \left(S_{k,1} \cup S_{k,3} \right)\, \equiv M_k \forall k \in \mathcal{N}, k \equiv 1\pmod 2 .$$
So, the sequence $\,\left(S_k\right)\,$ generates the sets $\,\left(M_k\right)\,$.
Thus, to prove the assertion: $$ \forall n \in \mathcal{N}, n\equiv 1\pmod 2,\,\exists k \in \mathcal{N}, k\geq0 \text { such that } n \in M_k, $$
one could equivalently show:
$$ \forall n \in \mathcal{N}, n\equiv 1\pmod 2,\, \exists k \in \mathcal{N}, k \equiv 0 \pmod 2 \text { such that } n \in \left(M_k \cup {M_{k+1}} \cup {\left(S_{k,2}\right)}\right) $$.
(APPENDIX - CHARTS)
$$ S_k= $$
$$ \begin{array} {lllll} \\
S_{k,0}=M_{k+1} & S_{k,1} \subset M_k & S_{k,2} = \cup_{j=k+2}^\infty \left(M_j\right) & S_{k,3} \subset M_k \\ \hline
\color{red}{f(k)} & f(k)+2^{k+1} & \color{red}{f(k+2)} & f(k+2)+2^{k+1}\\
f(k)+2^{k+3} & f(k)+2^{k+1}+2^{k+3} & f(k+2)+2^{k+3} & f(k+2)+2^{k+1}+2^{k+3}\\
f(k)+2^{k+4} & f(k)+2^{k+1}+2^{k+4} & \color{red}{f(k+4)} & f(k+2)+2^{k+1}+2^{k+4}\\
\vdots & \vdots & \vdots & \vdots \\
\end{array} $$
The chart above illustrates several points related to why the sets S_k from this answer are an improvement on the sets M_k from my question:
- No recursive calculation is needed, just calculate f(k) directly.
- $S_{k,0}$, $S_{k,1}$ and $S_{k,3}\,$ isolate all the members of $\,M_k\,$ into one or two columns of the table, if you are interested in working with a particular modulo set.
- $S_{k,2}\,$ retains the linear nature of the pattern, but one can just stop reading it after the third entry and switch to the next tableau for f(k+2).
- The red entries highlight that f(k+2) in the first row, third column is the pivot point for this process.