the answer to your question is to go into settings > input devices > keyboard > Advanced tab
check the configure box and look for the “Key to choose the 3rd level” section.
in there you will choose the option of Left Win for the windows key, hit Apply… btw, i would recommend choosing a different key—such as the right alt key—because the win key (meta) has so many handy uses in linux that you will be missing out on if you remap it to this setting.
anyway, back onto the Layouts tab you will need to see if your default layout has a mapping for the emdash, you can click on it and select the Preview button to look for the mapping
below is a list of all the keyboard layouts that include the emdash somewhere on the keyboard, usually as the 3rd shifted character on the minus key.
if you choose the Add button you can search for these layouts and look at their previews
emdash layouts (the last one is a custom layout i made for myself).
Albanian (Plisi)
Armenian
Bulgarian
Bulgarian (traditional phonetic)
Portuguese (Brazil, no dead keys)
German (Switzerland, Macintosh)
Czech (QWERTY, Macintosh)
German
German (E1)
German (T3)
German (Macintosh)
Danish (no dead keys)
EurKEY (US)
Finnish
Finnish (Dvorak)
French (BEPO)
Irish
Icelandic (Macintosh, legacy)
Icelandic (Macintosh)
Icelandic (Dvorak)
Sinhala (US)
Lithuanian (Ratise)
Latvian
Latvian (ergonomic, ŪGJRMV)
Latvian (Modern Latin)
Latvian (Modern Cyrillic)
Latvian (Dvorak)
Latvian (programmer Dvorak)
Mongolian
Norwegian
Northern Saami (Norway)
Polish
Russian (GOST 6431-75)
Russian (GOST 14289-88)
Abkhazian (Russia)
Russian (plus Ukrainian and Belarusian letters)
Russian (Polyglot and Reactionary)
Old Turkic
Old Turkic (F)
Ukrainian
Ukrainian (macOS)
English (Dvorak, Macintosh)
English (Macintosh)
English (Colemak)
English (Colemak-DH Wide)
Czech, Slovak, Polish, Spanish, Finnish, Swedish and German (US)
English (US, Symbolic-Greek and Geek)
if your preferred language layout is not listed then you will need to create your own like i did and add the mapping for the emdash to the minus key so you can access it using the 3rd level shift key.