Well, when you invoke a pointer to member, you need an actual object (a this) to invoke it on. So when the member runs, it has a this.
But it sounds like what you want is a "handle" or some such term, by which you can invoke a member function on an object, and all you need to do so is the handle. That's a different problem than pointers to members are trying to solve, but you can do that quite easily with a function object. That's essentially a roll-your-own closure, and since you can define whatever data members you want, you can close over anything.
One thing you have to watch out for, though, is lifetimes. C++ is not garbage-collected, and so it will not preserve an object just because another object has a pointer or reference to it. If you create a function object that captures a pointer to member, and a "this" to invoke it on, and the "this" gets destroyed, and then you use the function object, you're going to get chaos.
But it sounds like what you want is a "handle" or some such term, by which you can invoke a member function on an object, and all you need to do so is the handle. That's a different problem than pointers to members are trying to solve, but you can do that quite easily with a function object. That's essentially a roll-your-own closure, and since you can define whatever data members you want, you can close over anything.
One thing you have to watch out for, though, is lifetimes. C++ is not garbage-collected, and so it will not preserve an object just because another object has a pointer or reference to it. If you create a function object that captures a pointer to member, and a "this" to invoke it on, and the "this" gets destroyed, and then you use the function object, you're going to get chaos.