Let $G$ be a connected matrix group and let $H$ be any subgroup of $G$ containing open nbhd $U$ of $e$. Then $H=G$.
For proving this, in Matrix groups by Curtis, following set was considered $$W=U \cup U^2 \cup U^3 \cdots $$
$W$ is open as it is union of open sets. It is closed as if $x$ is limit point of $W$. Then $xU$ is nbhd of $x$ thus $xu=u_1u_2u_3 \cdots u_m$ for $u_i \in U$.
Thus $x=u_1u_2u_3 \cdots u_m u^{-1}$ but $u^{-1} $ need not be in $U$ or $W$(not completely sure here). So I dont understand how this argument works?
Also, why exactly do we need $W$ the argument seems to work equally well for just $U$?
Let $V$ be $U \cap U^{-1}$; $V$ is open and equal to $V^{-1}$. Now let $K=\cup_{i=1}^{+\infty} V^i$; obviously $K \subset H$, and $K$ is also open, as it is a union of open sets, and you can verify that it is also a subgroup (HINT: $V^n \cdot V^m \subset V^{n+m}$); now we want to prove that $K=G$. If it's not the case, then $G= K \coprod_{g \notin K} gK$. This is a disjoint union of open sets, but G is connected; so we have $G=K$.
So we have shown that a connected (Lie) group (or group of matrices in your case) is "generated" by a nbhd of the origin. If you take only "U" it is not a subgroup, so the argument used to say that $G$ is the union of left cosets of $K$ doesn't work.