From Hartshorne's Algebraic Geometry page 112:
Letting $f: B \to A_g$, I see that from Proposition 5.2 we can write $$f^*(\tilde M) \cong \widetilde{M \otimes_B A_g}$$ as sheaves of $\mathcal O_X |_{D(g)}={\rm Spec}(A_g)$-modules, where $$f^*(\tilde M) = \mathcal O_{{\rm Spec}(A_g)} \otimes_{f^{-1}\mathcal O_{{\rm Spec}(B)}} f^{-1}(\tilde M).$$
However, I don't see how $\mathscr F |_{D(g)} \cong \widetilde{M \otimes_B A_g}$.

Restricting a sheaf to an open subscheme $U\subset X$ is the same as taking the pullback along the open immersion $U\to X$. So letting $f:D(g)\to V$ be the open immersion, $\mathcal{F}|_{D(g)}\cong f^*(\widetilde{M})$ and you're done.