The map $g:G\to M_{n\times n}$ is a parameterization (embedding if you want) of the group as a submanifold of $M_{n\times n}$ but the name $g$ is a bit misleading. For example, consider for $S\subset \mathbb{R}^2$ the embedding
$$
\iota: S \to \mathbb{R}^3
$$
given by $\iota(a,b)=(a^2+b,-b,a+b)$. The differential $d\iota$ is a map
$$
d\iota: TS \to T \mathbb{R}^3
$$
and we know that for a vector $(v_1,v_2)\in T_p S$ the image is computed as
$$
d\iota_p(v)=\begin{pmatrix}
2a& 1 \\
0&-1\\
1&1\\
\end{pmatrix}\cdot
\begin{pmatrix}
v_1\\
v_2
\end{pmatrix}=
\begin{pmatrix}
2av_1+v_2\\
-v_2\\
v_1+v_2
\end{pmatrix}.
$$
If we use the natural identification $T_{\iota(p)} \mathbb{R}^3\approx \mathbb{R}^3$ we can think of $d\iota$ as the $\mathbb{R}^3$-valued differential 1-form
$$
d\iota=(2ada+db,-db,da+db)
$$
In the case of $g:G\to M_{n\times n}$, think of $G$ as the parameter space and $M_{n\times n}$ a fancy way of writing $\mathbb{R}^{n^2}$. So $dg$ is a $M_{n\times n}$-valued differential form in $G$.
By the way, I think you shouldn't write $\theta_g=g^{-1}dg$, but $\theta=g^{-1}dg$ and reserve the subindex for evaluation on an specific $p\in G$. That is,
$$
\theta_p=g(p)^{-1} d g_p
$$
Even more, with this approach $\theta$ is not really a $\mathfrak{g}$-valued form, but a $M_{n\times n}$-valued one. To have an authenic Maurer-Cartan form the expression should be, for $p\in G$ and $V\in T_pG$
$$
\theta_p (V)=dg_e^{-1}(g(p)^{-1} dg_p(V)).
$$

I have to admit that I have not seen this expression before, but only the classical
$$
g^{-1}dg.
$$