[step:Prove completeness using the density and separation axioms (M2), (M3)]
It remains to show that the orthonormal system $\{\psi_{j,k} : j, k \in \mathbb{Z}\}$ is total in $L^2(\mathbb{R})$ — equivalently, that
\begin{align*}
L^2(\mathbb{R}) = \overline{\bigoplus_{j \in \mathbb{Z}} W_j},
\end{align*}
where the bar denotes closure and $\bigoplus$ is the algebraic orthogonal sum.
By a telescoping argument, for any $j_0 < j_1$ in $\mathbb{Z}$,
\begin{align*}
V_{j_1} = V_{j_0} \oplus W_{j_0} \oplus W_{j_0+1} \oplus \cdots \oplus W_{j_1 - 1},
\end{align*}
where each $\oplus$ is the orthogonal direct sum from step 1. This holds by repeated application of $V_{j+1} = V_j \oplus W_j$.
Letting $j_1 \to \infty$ first and then $j_0 \to -\infty$, we proceed in two stages.
Stage A. Density (M3): $\overline{\bigcup_{j \in \mathbb{Z}} V_j} = L^2(\mathbb{R})$. Let $P_{V_j}: L^2(\mathbb{R}) \to L^2(\mathbb{R})$ denote the orthogonal projection onto the closed subspace $V_j$. Density (M3) is equivalent to
\begin{align*}
\lim_{j \to \infty} P_{V_j} f = f \qquad \text{in } L^2(\mathbb{R}) \text{ for every } f \in L^2(\mathbb{R}).
\end{align*}
We verify this equivalence: the limit-projection statement says that the union $\bigcup V_j$ is dense in the orthogonal complement of $\{0\}$, which is all of $L^2$, so it is exactly (M3).
Stage B. Separation (M2): $\bigcap_{j \in \mathbb{Z}} V_j = \{0\}$, equivalent to
\begin{align*}
\lim_{j \to -\infty} P_{V_j} f = 0 \qquad \text{in } L^2(\mathbb{R}) \text{ for every } f \in L^2(\mathbb{R}).
\end{align*}
The equivalence: $P_{V_j} f$ is monotonically decreasing in norm as $j \to -\infty$ (since $V_{j-1} \subseteq V_j$ implies $\|P_{V_{j-1}}f\|_{L^2} \le \|P_{V_j}f\|_{L^2}$), so the strong limit exists and lies in $\bigcap_j V_j = \{0\}$ by (M2).
Combining: for any $f \in L^2(\mathbb{R})$ and any $j_0 < j_1$ in $\mathbb{Z}$, by the orthogonal decomposition $V_{j_1} = V_{j_0} \oplus \bigoplus_{j_0 \le j < j_1} W_j$ and Pythagoras,
\begin{align*}
P_{V_{j_1}} f = P_{V_{j_0}} f + \sum_{j = j_0}^{j_1 - 1} P_{W_j} f, \qquad \|P_{V_{j_1}}f - P_{V_{j_0}}f\|_{L^2}^2 = \sum_{j = j_0}^{j_1 - 1} \|P_{W_j} f\|_{L^2}^2.
\end{align*}
Letting $j_1 \to \infty$ (so $P_{V_{j_1}} f \to f$ in $L^2$ by Stage A) and $j_0 \to -\infty$ (so $P_{V_{j_0}}f \to 0$ in $L^2$ by Stage B),
\begin{align*}
\|f\|_{L^2}^2 = \lim_{j_0 \to -\infty} \lim_{j_1 \to \infty} \|P_{V_{j_1}}f - P_{V_{j_0}}f\|_{L^2}^2 = \sum_{j \in \mathbb{Z}} \|P_{W_j}f\|_{L^2}^2,
\end{align*}
and analogously $f = \sum_{j \in \mathbb{Z}} P_{W_j}f$ with $L^2$ convergence. The series converges absolutely in $L^2$ norm because the partial sums are Cauchy: for $-N_2 \le -N_1 < N_1 \le N_2$,
\begin{align*}
\Big\| \sum_{|j| > N_1, j \le N_2}\!\!\!\!\!\!\!\!P_{W_j}f \Big\|_{L^2}^2 = \!\!\sum_{|j| > N_1, j \le N_2}\!\!\!\!\!\!\|P_{W_j}f\|_{L^2}^2 \to 0
\end{align*}
as $N_1 \to \infty$ (by absolute convergence of the displayed Parseval-style sum).
Hence $L^2(\mathbb{R}) = \overline{\bigoplus_{j \in \mathbb{Z}} W_j}$. Since $\{\psi_{j,k} : k \in \mathbb{Z}\}$ is an ONB of $W_j$ (step 2) and the $W_j$ are mutually orthogonal (step 3), we conclude that $\{\psi_{j,k} : j, k \in \mathbb{Z}\}$ is an orthonormal basis of $L^2(\mathbb{R})$.
[/step]