  Characterizing the bulk compositions of transiting exoplanets within the M
dwarf radius valley offers a unique means to establish whether the radius
valley emerges from an atmospheric mass loss process or is imprinted by planet
formation itself. We present the confirmation of such a planet orbiting an
early M dwarf ($T_{\rm mag} = 11.0294 \pm 0.0074, M_s = 0.513 \pm 0.012\
M_\odot, R_s = 0.515 \pm 0.015\ R_\odot, T_{\rm eff} =3690\pm 50 K$): TOI-1695
b ($P = 3.13$ days, $R_p = 1.90^{+0.16}_{-0.14}\ R_\oplus$). TOI-1695 b's
radius and orbital period situate the planet between model predictions from
thermally-driven mass loss versus gas depleted formation, offering an important
test case for radius valley emergence models around early M dwarfs. We confirm
the planetary nature of TOI-1695 b based on five sectors of TESS data and a
suite of follow-up observations including 49 precise radial velocity
measurements taken with the HARPS-N spectrograph. We measure a planetary mass
of $6.36 \pm 1.00\ M_\oplus$, which reveals that TOI-1695 b is inconsistent
with a purely terrestrial composition of iron and magnesium silicate, and
instead is likely a water-rich planet. Our finding that TOI-1695 b is not
terrestrial is inconsistent with the planetary system being sculpted by
thermally driven mass loss. We present a statistical analysis of seven
well-characterized planets within the M dwarf radius valley demonstrating that
a thermally-driven mass loss scenario is unlikely to explain this population.
