I don't know much about non-compact groups, so I'll leave your last question to someone else.
I claim that $S^1\times S^2$ not only covers both $M_2$ and $X:=\mathbb{R}P^3\sharp \mathbb{R}P^3$, but that it double covers them. In particular, since $\pi_1(M_2) \cong \mathbb{Z}$, it has a unique double cover, so $S^1\times S^2$ is the orientation covering of $M_2$.
You can see that $M_2$ is double covered by $S^1\times S^2$ directly. In fact, if you consider the $\mathbb{Z}_2$ action on $S^1\times S^2$ which maps $(x,y)$ to $(-x,-y)$, then $M_2$ is the quotient by this free action. The map $M_2\rightarrow S^1$ given by mapping $[(x,y)]$ to $x^2$ is a fiber bundle map with fiber $S^2$. This bundle structure allows you to identify $M_2$ as the mapping torus of the antipodal map on $S^2$ and also tells you that $\pi_1(M_2)\cong \mathbb{Z}$ (via the long exact sequence in homotopy groups.)
For $X$, we'll argue as follows. I'm going to view $\mathbb{R}P^3$ as $S^2\times [0,1]/\sim$ where $S^2\times \{0\}$ is identified to a single point, and $(x,1) \sim (-x,1)$. That is, we do the usual antipodal identification on the boundary. (This is precisely the ball model of $\mathbb{R}P^3$). To form $X$ we take two copies of $\mathbb{R}P^3$, with $S^2\times \{0\}$ (which is a single point) removed, and glue.
Thus, we can view $X$ as $S^2\times [-1,1]/\sim$ where antipodal points in $S^2\times \{-1\}$ are identified and likewise antipodal points in $S^2\times \{1\}$ are identified.
Now, define $\pi:X\rightarrow \mathbb{R}P^2$ by making $\pi$ to be the identity on the end points and the usual double cover $S^2\rightarrow \mathbb{R}P^2$ on each slice $S^2\times \{t\}$ with $t\in (-1,1)$. This is a bundle map with fiber $S^1$.
This shows that we have a bundle $S^1\rightarrow X\rightarrow \mathbb{R}P^2$. If we pull this bundle back along the double cover $S^2\rightarrow \mathbb{R}P^2$, we obtain a bundle $S^1\rightarrow \tilde{X}\rightarrow S^2$ where $\tilde{X}$ is a double cover of $X$. It remains to determine the diffeomorphism type of $\tilde{X}$. To do this, simply note that the map $\pi_1(X)\rightarrow \pi_1(\mathbb{R})^2$ is a group homomorphism from an infinite group to a finite one, so it must have an infinite kernel. Thus, the map $\pi_1(S^1)\rightarrow \pi_1(X)$ must be injective.
This, in turn implies that the map $\pi_1(S^1)\rightarrow \pi_1(\tilde{X})$ is injective, so $\tilde{X}$ has infinite fundamental group. From, say, the Gysin sequence, this implies that the bundle $S^1\rightarrow \tilde{X}\rightarrow S^2$ has trivial Euler class, so the bundle is trivial. That is, $\tilde{X}$ is diffeomorphic to $S^1\times S^2$.