Lemma: Let $X \sim \mathcal{N}(0,1)$ be normally distributed. Then $Y = \sigma X + \mu$ is normally distributed as $Y \sim \mathcal{N}(\mu,\sigma^2)$.
Proof:
Let $Y$ be represented by its polynomial chaos expansion:
$$Y = \sum_{i=0}^\infty y_i\Phi_i(\zeta).$$
Choose $\zeta$ to to have a zero mean normal distribution inducing a choice of $\Phi_i = H_i$, where $H_i$ is the $i$th Hermite Polynomial appropriately scaled so that $\left\langle H_i H_j\right\rangle = \delta_{ij}$.
We compute the expansion coefficients using the Galerkin method by projecting each orthogonal polynomial basis function onto both sides of the expansion:
$$\left\langle Y H_j(\zeta)\right\rangle = \left\langle \sum_{i=0}^\infty y_iH_i(\zeta) H_j(\zeta)\right\rangle \\
y_j = \frac{1}{\left\langle H_j^2 (\zeta)\right\rangle} \int_{\mathbb{R}} YH_j(\zeta) w(\zeta)\ d\zeta,$$
where $w(\zeta)$ is the weighting function of the Hermite polynomials, appropriately scaled.
Since $Y$ and $\zeta$ are fully correlated, perform an inverse transform of their distribution functions to the same uniformly-distributed random variable $u$:
$$F(Y) = u = G(\zeta) \implies h(u) \equiv F^{-1}(u) = Y, l(u) \equiv G^{-1}(u) = \zeta.$$
Note that the CDF of the standard normal distribution can be written in terms of the error function:
$$G(\zeta) = \frac12\left(1+\textrm{erf}\left(\frac{\zeta}{\sqrt{2}}\right)\right),$$
so we can write
$$l(u) = \sqrt{2} \textrm{erf}^{-1}(2u-1).$$
Similarly, it is easy to show that
$$h(u) = \sqrt{2\sigma^2}\textrm{erf}^{-1}(2u-1)+\mu.$$
Substituting all this into the integral for $y_j$, we find
$$\begin{align*}
y_j & = \int_0^1 h(u)H_j(l(u))\ du \\
&= \int_0^1 \sqrt{2\sigma^2}\textrm{erf}^{-1}(2u-1)H_j(\sqrt{2} \textrm{erf}^{-1}(2u-1))\ du + \int_0^1 \mu H_j(\sqrt{2} \textrm{erf}^{-1}(2u-1))\ du \\
&= \underbrace{\int_{\mathbb{R}} \sqrt{2\sigma^2}\zeta H_j(\zeta) w(\zeta)\ d\zeta}_{\sqrt{\sigma^2}\left\langle H_1 H_j\right\rangle} + \underbrace{\int_\mathbb{R} \mu H_j(\zeta)w(\zeta)\ d\zeta}_{\left\langle H_0 , 1\right\rangle}
\end{align*}$$
Hence, the first integral is non-zero only for $j=1$, and the second is non-zero for only $j=0$. By the appropriate choice of scaling of the Hermite polynomials, we have
$$Y = \mu + \sigma \zeta$$
and we finally note that $\zeta$ is identically distributed to $X$.