Because $TM$ is an embedded $2m$-dimensional submanifold of $T\Bbb R^n\approx \Bbb R^n\times \Bbb R^n$,
we can define the smooth map $\varphi: TM\to \Bbb R$ by
$(x_1,\cdots,x_n,v_1,\cdots,v_n)\mapsto \sqrt{v_1^2+\cdots+v_n^2}$.
then we can get $UM=\varphi^{-1}(1)$.
If we can show $\forall (x,v)\in UM$, $d\varphi_{(x,v)}$ is surjective, then $UM=\varphi^{-1}(1)$ is a regular level set, then we can use the Corollary 5.14 to show $UM$ is an embedded $(2m-1)$-dimensional submanifold of $T\Bbb R^n\approx \Bbb R^n\times \Bbb R^n$.
But how to show $\forall (x,v)\in UM$, $d\varphi_{(x,v)}$ is surjective?


Let $F:M\to \Bbb R^n$ be the inclusion map and $dF: TM\to T\Bbb R^n$ the smooth map induced by $F$,
then we have $$dF:TM\to T\Bbb R^n,$$ $$(x,v)\mapsto (x,v).$$
$\forall x\in M$, we choose a smooth chart containing $x$ on $M$, then $dF$ has the following coordinate representation in terms of natural coordinates for $TM$ and $T\Bbb R^n$:
$dF(x^1,\cdots,x^m,v^1,\cdots,v^m)=(F^1(x),\cdots,F^n(x),\frac{\partial F^1}{\partial x^i}(x)v^i,\cdots,\frac{\partial F^n}{\partial x^i}(x)v^i).$
We composite $dF:TM\to T\Bbb R^n$ with $T\Bbb R^n\to \Bbb R$ defined by $(x,v)\mapsto |v|^2$, then we get $\Phi: TM\to \Bbb R$ defined by $(x,v)\mapsto |v|^2$. Correspondingly, $\Phi$ has the following coordinate representation:
$\Phi(x^1,\cdots,x^m,v^1,\cdots,v^m)=\sum\limits_{k=1}^n(\frac{\partial F^k}{\partial x^i}(x)v^i)^2$.
Suppose $\Phi(x_0^1,\cdots,x_0^m,v_0^1,\cdots,v_0^m)=\sum\limits_{k=1}^n(\frac{\partial F^k}{\partial x^i}(x_0)v_0^i)^2=1$.
Because we have
$\frac{\partial\Phi}{\partial v^1}(x_0^1,\cdots,x_0^m,v_0^1,\cdots,v_0^m)=2\sum\limits_{k=1}^n\frac{\partial F^k}{\partial x^1}(x_0)(\frac{\partial F^k}{\partial x^i}(x_0)v_0^i),$
$\qquad \qquad \qquad \vdots$
$\frac{\partial\Phi}{\partial v^m}(x_0^1,\cdots,x_0^m,v_0^1,\cdots,v_0^m)=2\sum\limits_{k=1}^n\frac{\partial F^k}{\partial x^m}(x_0)(\frac{\partial F^k}{\partial x^i}(x_0)v_0^i),$
then $v_0^1\frac{\partial\Phi}{\partial v^1}(x_0^1,\cdots,x_0^m,v_0^1,\cdots,v_0^m)+\cdots+v_0^m\frac{\partial\Phi}{\partial v^m}(x_0^1,\cdots,x_0^m,v_0^1,\cdots,v_0^m)=2\sum\limits_{k=1}^n(\frac{\partial F^k}{\partial x^i}(x_0)v_0^i)^2=2$,
so at least one of $\frac{\partial\Phi}{\partial v^1}(x_0^1,\cdots,x_0^m,v_0^1,\cdots,v_0^m),\cdots,\frac{\partial\Phi}{\partial v^m}(x_0^1,\cdots,x_0^m,v_0^1,\cdots,v_0^m)$ is not equal to $0$, then $(x_0^1,\cdots,x_0^m,v_0^1,\cdots,v_0^m)$ is a regular point of $\Phi$ such that $\Phi(x_0^1,\cdots,x_0^m,v_0^1,\cdots,v_0^m)=1$, hence $\Phi^{-1}(1)$ is a regular level set.
By Corollary 5.14(Regular Level Set Theorem) of Introduction to Smooth Manifolds by Lee, $UM=\Phi^{-1}(1)$ is an embedded $(2m-1)$-dimensional submanifold of $TM$, thus an embedded $(2m-1)$-dimensional submanifold of $T\Bbb R^n\approx \Bbb R^n\times \Bbb R^n$.