Does it do the same with the USB lead plugged it?
It could be that the battery isn't charged enough.

to reconnect, Plug the usb into a battery or laptop to power on and start charging the M5, When it beeps the main menu will briefly pop up, you hit to hit button C (right button) as soon as the screen appears this will send you to the wifi screen and you use c button to move do to the "reconnect to uiflow" option then hit the middle (B) button to connect.
Go into UIFlow and hit the circle symbol next to (disconnected) to reconnect to the M5 (Sometime it will auto connect and say connected in green).

m5stick grove is different, pin is gnd, vcc, 25, 13, those can be viewed from the back of the stick