I have a 2020 CX5 GT and I'm wondering if it's possible to use the contacts on my phone (connected by Bluetooth or from Mazda Connect) to select destinations?

 

I personally don't own a CX5.

Have you asked the dealer, whom you bought it from?
What does your owners manual say?

 

I have a 2016, if I bring up a contact as though I am going to phone it, but instead highlight the address, then press the big button on the console, it will use the address as the destination. I assume a 2020 has a similar feature.