The bright ultraluminous X-ray source (ULX), M33 X-8, has been observed several times by XMM-Newton, providing us with a rare opportunity to 'flux bin' the spectral data and search for changes in the average X-ray spectrum with flux level. The aggregated X-ray spectra appear unlike standard sub-Eddington accretion state spectra which, alongside the lack of discernible variability at any energy, argues strongly against conventional two-component, sub-Eddington models. Although the lack of variability could be consistent with disc-dominated spectra, sub-Eddington disc models are not sufficiently broad to explain the observed spectra. Fits with a similar to Eddington accretion rate slim disc model are acceptable, but the fits show that the temperature decreases with flux, contrary to expectations, and this is accompanied by the appearance of a harder tail to the spectrum. Applying a suitable two-component model reveals that the disc becomes cooler and less advection dominated as the X-ray flux increases, and this is allied to the emergence of an optically thick Comptonization medium. We present a scenario in which this is explained by the onset of a radiatively driven wind from the innermost regions of the accretion disc, as M33 X-8 exceeds the Eddington limit. Furthermore, we argue that the direct evolution of this spectrum with increasing luminosity (and hence radiation pressure) leads naturally to the two-component spectra seen in more luminous ULXs.