Suppose that given $\varepsilon > 0$, there is an open set $O \supset E$ with $m^*(O \backslash E) < \varepsilon$. We want to find a closed set $F \subset E$ with $m^*(E \backslash F) < \varepsilon$.
Since $O \supset E$, we have $O = E \cup (O \backslash E)$.
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