[step:Rewrite the Mellin transform as an entire symmetric integral]
Split the Mellin integral at $1$:
\begin{align*}
M_f(s)
=
\int_1^\infty f(iy)y^{s-1}\,d\mathcal{L}^1(y)
+
\int_0^1 f(iy)y^{s-1}\,d\mathcal{L}^1(y).
\end{align*}
In the second integral, use the substitution $t=1/y$, so that $y=1/t$, $d\mathcal{L}^1(y)=t^{-2}\,d\mathcal{L}^1(t)$ with the orientation reversed, and the interval $(0,1)$ becomes $(1,\infty)$. The modular relation for $S=\begin{pmatrix}0&-1\\1&0\end{pmatrix}$ gives
\begin{align*}
f(i/t)=f(S(it))=(it)^k f(it).
\end{align*}
Equivalently,
\begin{align*}
f(iy)=i^{-k}y^{-k}f(i/y).
\end{align*}
Since $k$ is even in the nonzero case, $i^{-k}=i^k$. Hence
\begin{align*}
\int_0^1 f(iy)y^{s-1}\,d\mathcal{L}^1(y)
&=i^k\int_1^\infty f(it)t^{k-s-1}\,d\mathcal{L}^1(t).
\end{align*}
Renaming $t$ as $y$, define
\begin{align*}
F_f:\mathbb{C} &\to \mathbb{C} \\
s &\mapsto \int_1^\infty f(iy)\left(y^{s-1}+i^k y^{k-s-1}\right)\,d\mathcal{L}^1(y).
\end{align*}
We now justify the analytic dependence on $s$. From the Fourier expansion and the coefficient bound already proved, for $y\geq 1$ we have
\begin{align*}
|f(iy)|
&\leq \sum_{n=1}^{\infty}|a_n|e^{-2\pi n y} \\
&\leq e^{2\pi}C_f\sum_{n=1}^{\infty} n^{k/2}e^{-2\pi n y} \\
&\leq e^{2\pi}C_f e^{-\pi y}\sum_{n=1}^{\infty} n^{k/2}e^{-\pi n}.
\end{align*}
Define the finite constant
\begin{align*}
C_1:=e^{2\pi}C_f\sum_{n=1}^{\infty} n^{k/2}e^{-\pi n}.
\end{align*}
Then $|f(iy)|\leq C_1e^{-\pi y}$ for all $y\geq 1$. Let $K\subset\mathbb{C}$ be compact, and choose $A_K>0$ such that $|\operatorname{Re}(s)|\leq A_K$ for all $s\in K$. For $y\geq 1$ and $s\in K$,
\begin{align*}
\left|f(iy)\left(y^{s-1}+i^k y^{k-s-1}\right)\right|
&\leq C_1e^{-\pi y}\left(y^{A_K-1}+y^{k+A_K-1}\right).
\end{align*}
The dominating function on the right is integrable on $(1,\infty)$ with respect to $\mathcal{L}^1$. Since for each fixed $y\geq 1$ the map $s\mapsto f(iy)(y^{s-1}+i^k y^{k-s-1})$ is entire, the holomorphic parameter integral theorem implies that $F_f$ is entire. Since $F_f(s)=M_f(s)=\Lambda(f,s)$ on the half-plane $\operatorname{Re}(s)>1+k/2$, $F_f$ is the analytic continuation of $\Lambda(f,s)$ to an entire function.
[/step]