Corollary 2
Tag 08TL, permanent. Cite it as [Bourbaki, Tag 08TL].
Integration, IV, p. 53, § 4. Integrable functions and sets
For every closed subset of , every function is the uniform limit of linear combinations , where the belong to and the are compact subsets of .
The set of such linear combinations is a -algebra. Let be the set of subsets of such that ; is thus a clan all of whose elements are subsets of , containing the compact subsets of , and . It then suffices to apply Prop. 19 to the locally compact space and the clan .
Bourbaki puts the proof directly after the statement, so what is above is the statement and its proof together.