How is there this much misinformation out there about this? It's a neologism based on the character M from the James Bond franchise. Do a little free-association from the phrase "Bond—James Bond" and you end up calling that the M-dash.

Until that relatively recent shift, it was named the Morse Dash—you'd think because of the "long" glyph when rendering Morse Code, but no, it was named for the 17th century English Catholic martyr Henry Morse, for reasons lost to time.